Timeline for Another question on Øksendal's book
Current License: CC BY-SA 2.5
16 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 3, 2010 at 3:40 | vote | accept | Steven | ||
| Jun 3, 2010 at 3:40 | vote | accept | Steven | ||
| Jun 3, 2010 at 3:40 | |||||
| May 14, 2010 at 15:19 | answer | added | Walter | timeline score: 0 | |
| May 14, 2010 at 15:17 | answer | added | Nate Eldredge | timeline score: 2 | |
| May 14, 2010 at 1:25 | comment | added | KConrad | Steven: Aha! So my first comment above is irrelevant and I certainly have nothing useful to say mathematically on this topic. I would suggest, since your question is getting voted down (it's -3 at the moment), that you give thought to preparing a more expansive version of the question. Maybe look first at the way other people have written questions on topics in stochastic analysis. | |
| May 14, 2010 at 0:39 | comment | added | Steven | To KConrad this is not a kind of changing the order of the bounds | |
| May 14, 2010 at 0:31 | comment | added | Steven | Hi alls thanks for your comments, I do want to give all related definitions but it is seem too long to write all down. I am SO SORRY for the confusion. Oksendal need a lot of space just to give some definitions and notations, it will take time and might be more confused to write down all needed things, so I only hope some of you who had read the book help me with this kind of questions. Yes, the integral is Ito's integral, $R_{s}$ is just a Gaussian process. | |
| May 13, 2010 at 23:47 | comment | added | Harald Hanche-Olsen |
Presumably the s integral is an Itô integral, right? What is $R_s$, really?
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| May 13, 2010 at 23:44 | history | edited | Harald Hanche-Olsen | CC BY-SA 2.5 |
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| May 13, 2010 at 22:48 | comment | added | KConrad | When I said above that the integration is w.r.t. s, I was simplifying a little since the questions seems to be about how the integration bounds change. I do recognize that Oksendal is not really integrating w.r.t. s but rather w.r.t. some kind of stochastic process indexed by s. | |
| May 13, 2010 at 22:41 | comment | added | KConrad | Steven, it is really preferred that you give context and meaning to your questions. Please think about how this looks from the viewpoint of those on the site: you show up and just throw an equation on the page and ask what it is all about. Imagine a stranger came into your office, wrote some expression on the blackboard, and then looked at you and said "What is this?" That's how these Oksendal questions appear to the rest of us. | |
| May 13, 2010 at 22:37 | comment | added | KConrad | This has nothing to do with stochastic differential equations. It's an issue in multivariable calculus: Oksendal is just switching the order of integration (on the left, the inside is w.r.t. s and outside is w.r.t. t, while on the right the inside is w.r.t. t and the outside is w.r.t. s). How the bounds of integration change is a standard technique in double integrals. Please review your multivariable calculus. Look at examples and pictures in any book covering double integrals. When you know how to change the order of integration in a double integral you'll have answered your own question. | |
| May 13, 2010 at 22:29 | comment | added | Steven | it is too long to write down all definitions, hope some one already read the Oksendal's book and give me a hand. Thanks | |
| May 13, 2010 at 22:20 | comment | added | Mariano Suárez-Álvarez | Indeed! That equation can go from trivial to very deep depending on the intended meaning of the symbols... | |
| May 13, 2010 at 22:18 | comment | added | Cam McLeman | It will probably help your cause to provide some definitions and/or context -- what ideas have you tried on your own? | |
| May 13, 2010 at 22:13 | history | asked | Steven | CC BY-SA 2.5 |