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 | |
|---|---|---|---|---|---|
| Jun 12, 2020 at 20:47 | comment | added | user158968 | Thanks. $\qquad$ | |
| Jun 12, 2020 at 20:47 | vote | accept | user158968 | ||
| Jun 12, 2020 at 20:37 | comment | added | ofer zeitouni | Because $F(t)$ is the expression I wrote, and not the one you did. If you take $F=\lambda F_1+(1-\lambda) F_2$, where $F_i$ are deterministic functions, the measure you will get is not the convex combination of $\mu_1$ and $\mu_2$. | |
| Jun 12, 2020 at 20:35 | comment | added | user158968 | Why do you disagree? | |
| Jun 12, 2020 at 20:34 | comment | added | user158968 | That is what I wanted. Thank you. | |
| Jun 12, 2020 at 20:33 | history | edited | ofer zeitouni | CC BY-SA 4.0 |
added 52 characters in body
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| Jun 12, 2020 at 20:32 | comment | added | ofer zeitouni | I thought you wanted a drift $F$ that will generate the measure $\mu$. I constructed one for you. Wasn't it your question? BTW, I somewhat disagree with what you wrote in the "deterministic case". | |
| Jun 12, 2020 at 16:33 | comment | added | user158968 | I'm sorry, I'm not sure exactly what you're showing here. | |
| Jun 12, 2020 at 15:17 | history | answered | ofer zeitouni | CC BY-SA 4.0 |