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Sep 26, 2019 at 17:27 vote accept sharpe
S Sep 26, 2019 at 17:27 history bounty ended sharpe
S Sep 26, 2019 at 17:27 history notice removed sharpe
Sep 26, 2019 at 9:24 answer added Mateusz Kwaśnicki timeline score: 1
Sep 24, 2019 at 12:16 history edited sharpe CC BY-SA 4.0
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Sep 24, 2019 at 9:15 history edited sharpe CC BY-SA 4.0
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Sep 24, 2019 at 9:13 comment added Mateusz Kwaśnicki Thanks for clarification! (By the way, I misread the formula with conditioning, please ignore the last point of my previous comment.)
Sep 24, 2019 at 9:13 history edited sharpe CC BY-SA 4.0
added 11 characters in body
Sep 24, 2019 at 8:52 comment added sharpe @MateuszKwaśnicki Thank you for your comment. $X$ is a absorbing BM on $S$ conditioned to hit $\{1\} \times (-1,1)$. So, $X$ does not hit $\{-1,1\} \times (1,\infty)$ before arriving at $\{1\} \times (-1,1)$.
Sep 24, 2019 at 8:17 comment added Mateusz Kwaśnicki What happens to $X$ at the boundary, that is, at $\{-1,1\} \times (1,\infty)$? If it is reflected, everything works nicely; however, in this case one would rather speak about BM in $[-1,1] \times (1,\infty)$. If it is absorbed (or killed), the claimed result does not seem to be true.
Sep 24, 2019 at 8:07 answer added RaphaelB4 timeline score: 1
S Sep 24, 2019 at 5:54 history bounty started sharpe
S Sep 24, 2019 at 5:54 history notice added sharpe Authoritative reference needed
Sep 24, 2019 at 5:54 history edited sharpe CC BY-SA 4.0
deleted 977 characters in body; edited title
May 13, 2019 at 12:29 history edited sharpe CC BY-SA 4.0
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May 13, 2019 at 3:10 history edited sharpe CC BY-SA 4.0
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May 12, 2019 at 6:00 history asked sharpe CC BY-SA 4.0