Timeline for What is the drift for a convex combination of Girsanov measures?
Current License: CC BY-SA 4.0
9 events
| when toggle format | what | by | license | comment | |
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| Jun 12, 2020 at 20:47 | vote | accept | user158968 | ||
| Jun 12, 2020 at 15:17 | answer | added | ofer zeitouni | timeline score: 1 | |
| Jun 11, 2020 at 16:07 | comment | added | S.Surace | Sure, this makes sense. Unfortunately I don't know an answer to this. The exponential martingales and the sum don't seem to go well together. | |
| Jun 11, 2020 at 15:35 | comment | added | user158968 | @S.Surace Any measure that is absolutely continuous wrt Wiener measure is a Girsanov measure and corresponds to a $W^{1,2}$ drift. | |
| Jun 11, 2020 at 15:25 | comment | added | user158968 | @S.Surace Because it has a density. | |
| Jun 11, 2020 at 15:09 | comment | added | S.Surace | It is not clear to me why the convex combination of a Girsanov measure should be a Girsanov measure. Where do you get this from? | |
| Jun 11, 2020 at 3:54 | history | edited | user158968 | CC BY-SA 4.0 |
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| Jun 11, 2020 at 1:35 | history | edited | user158968 | CC BY-SA 4.0 |
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| Jun 10, 2020 at 21:23 | history | asked | user158968 | CC BY-SA 4.0 |