Timeline for Does the variance of a continuous time, time homogeneous, Markov process starting from one point necessarily not decrease?
Current License: CC BY-SA 3.0
13 events
| when toggle format | what | by | license | comment | |
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| Dec 15, 2013 at 9:31 | answer | added | Martin Hairer | timeline score: 2 | |
| Dec 11, 2013 at 19:16 | history | edited | Hans | CC BY-SA 3.0 |
Further restricting the continuous path case in 1 dimension.
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| Dec 11, 2013 at 18:49 | vote | accept | Hans | ||
| Dec 11, 2013 at 18:50 | |||||
| Dec 11, 2013 at 18:49 | vote | accept | Hans | ||
| Dec 11, 2013 at 18:49 | |||||
| Dec 11, 2013 at 18:49 | vote | accept | Hans | ||
| Dec 11, 2013 at 18:49 | |||||
| Dec 11, 2013 at 10:35 | answer | added | Martin Hairer | timeline score: 2 | |
| Dec 11, 2013 at 7:04 | answer | added | Yuri Bakhtin | timeline score: 2 | |
| Dec 11, 2013 at 5:47 | answer | added | ofer zeitouni | timeline score: 3 | |
| Dec 11, 2013 at 5:37 | comment | added | Hans | @StephanSturm: You are right. For martingale, it would be an application of Jensen's inequality to show the non-decreasing over time. However, mean-reverting process and jump process are not martingale. Any ideas on those? | |
| Dec 11, 2013 at 2:47 | comment | added | Hans | @cardinal: I meant "increase" in the weak sense of "not decrease". That is a good point nevertheless. I now made it clear in the question. Take a look. | |
| Dec 11, 2013 at 2:43 | history | edited | Hans | CC BY-SA 3.0 |
Replaced "increase" with "not decrease".
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| Dec 11, 2013 at 2:38 | comment | added | cardinal | Simple counterexample: $X_t = 0$ for all $t$. | |
| Dec 11, 2013 at 2:31 | history | asked | Hans | CC BY-SA 3.0 |