Timeline for Intuition and/or visualisation of Itô integral/Itô's lemma
Current License: CC BY-SA 4.0
8 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 19, 2022 at 7:27 | history | edited | Martin Sleziak | CC BY-SA 4.0 |
http -> https (the question was bumped anyway)
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| Aug 18, 2022 at 20:42 | history | edited | LSpice | CC BY-SA 4.0 |
Name of linked book, while this is on the front page
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| Nov 12, 2021 at 0:54 | comment | added | Ian | @Arshdeep Ito's lemma encapsulates the leading order (i.e. $O(dt)$) deterministic increment together with the leading order (i.e. $O(dt^{1/2})$) stochastic increment. Consequently for $W_t^3$ at $t=0$ what it reports is that both of those are zero. There's no contradiction, it's just an incomplete picture. | |
| Jul 5, 2020 at 11:38 | comment | added | Arshdeep | Consider F(W)=$W^3$ expanded about 0. Taylor's expansion does not help in this case, and the higher (3rd order) term matters. Infact, the first and second order expansions are 0. How do your reconcile that with this? | |
| Feb 3, 2020 at 12:08 | comment | added | Rastapopoulos | I understand the general idea but I'm confused about the details. Around what point do you write the formal expansion? | |
| Jun 29, 2010 at 20:28 | history | edited | Andrey Rekalo | CC BY-SA 2.5 |
the formula corrected, a reference added
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| Jun 29, 2010 at 5:21 | vote | accept | vonjd | ||
| Jun 28, 2010 at 15:00 | history | answered | Andrey Rekalo | CC BY-SA 2.5 |