Timeline for Mean Value Theorem for stochastic processes
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
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| Mar 11, 2018 at 18:36 | comment | added | stoch | Thank you for your answer, I understood it completely. It's surprising that a paper with a clear error got published in a good journal. | |
| Mar 11, 2018 at 18:33 | vote | accept | stoch | ||
| Mar 11, 2018 at 3:06 | comment | added | Iosif Pinelis | @stoch : Indeed, Lemma 3.1 in the paper is not correct if $\xi$ is thought of as not depending on $t$ and/or the path. The proof of the lemma is incorrect anyway. However, if $\xi$ is allowed to depend on $t$ and the path and if $Y(\cdot)$ is, not only mean-square continuous but also has continuous paths, then the path-wise mean value theorem obviously holds. On the other hand, if $Y(\cdot)$ is only assumed to be mean-square continuous but not path-wise continuous, then $\xi$ may not exist at all. I have added the relevant details to my answer. | |
| Mar 11, 2018 at 3:04 | history | edited | Iosif Pinelis | CC BY-SA 3.0 |
added 1590 characters in body
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| Mar 9, 2018 at 21:05 | comment | added | stoch | So those results from the paper are not correct, right? Is the conclusion that there is no Mean Value Theorem in the mean square sense for stochastic processes correct? | |
| Mar 9, 2018 at 20:57 | history | answered | Iosif Pinelis | CC BY-SA 3.0 |