Timeline for Covariance of the product of a stochastic integral and riemann integral
Current License: CC BY-SA 3.0
6 events
when toggle format | what | by | license | comment | |
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Mar 29, 2017 at 3:59 | comment | added | JGWang | @Tom, thank you for your replication. I add the proof of (3). | |
Mar 29, 2017 at 3:57 | history | edited | JGWang | CC BY-SA 3.0 |
add the proof of (3) and the final expression of $m(t)$.
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Mar 28, 2017 at 11:30 | comment | added | Tom | I have posted a new question here: mathoverflow.net/questions/265752/… | |
Mar 28, 2017 at 10:39 | comment | added | Tom | Can you briefly explain equation (3)? I am not quite familiar with how to find $E(\int_{0}^{t} B(s) dW(s))$ and $E(\int_{0}^{t} B(s) dW(s))^2$ when $d\langle B, W \rangle_t = \gamma dt$. Does ito isometry still applies? | |
Mar 28, 2017 at 10:34 | vote | accept | Tom | ||
Mar 28, 2017 at 8:53 | history | answered | JGWang | CC BY-SA 3.0 |