Timeline for Malliavin derivative under change of measure
Current License: CC BY-SA 3.0
8 events
| when toggle format | what | by | license | comment | |
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| Feb 1, 2016 at 18:56 | answer | added | Stephan Sturm | timeline score: 2 | |
| Jan 25, 2016 at 8:42 | history | edited | mastro | CC BY-SA 3.0 |
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| Jan 25, 2016 at 8:36 | history | edited | mastro | CC BY-SA 3.0 |
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| Jan 25, 2016 at 8:32 | comment | added | mastro | @StephanSturm thank you very much for you answer. I did not want to give too much specification for the process $\widetilde{F}$ to keep the question general. $W$ is a Brownian Motion under $\mathbb{Q}$ that is correlated with $B$. | |
| Jan 25, 2016 at 8:31 | history | edited | mastro | CC BY-SA 3.0 |
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| Jan 23, 2016 at 9:05 | comment | added | Stephan Sturm | What do you mean by a "stochastic process driven by $\tilde{B}_t$"? An Ito process with coefficients progressive wrt to the filtration generated by $\tilde{B}_t$? Why do you write that $W$ is correlated with $B$, not $\tilde{B}_t$? Could you define $F$ explicitly? | |
| Jan 22, 2016 at 16:22 | review | First posts | |||
| Jan 22, 2016 at 16:29 | |||||
| Jan 22, 2016 at 16:20 | history | asked | mastro | CC BY-SA 3.0 |