Timeline for How to get the mean, skewness of an Itō integral?
Current License: CC BY-SA 4.0
13 events
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| Feb 20, 2023 at 23:25 | review | Close votes | |||
| Mar 1, 2023 at 1:42 | |||||
| Feb 20, 2023 at 23:05 | history | edited | LSpice | CC BY-SA 4.0 |
Proofreading, while this is on the front page
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| Feb 20, 2023 at 23:03 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jan 21, 2023 at 22:55 | answer | added | Thomas Kojar | timeline score: 1 | |
| Nov 25, 2020 at 12:52 | review | Close votes | |||
| Dec 10, 2020 at 3:04 | |||||
| Nov 25, 2020 at 12:34 | comment | added | ofer zeitouni | This is not MO level. Hint: since $f$ is deterministic, the integral is a Gaussian random variable. | |
| Nov 25, 2020 at 10:46 | comment | added | Dieter Kadelka | For 1. and 2. moments the results are standard. You find something about these integrals (with necessary assumptions) f.i. in Karatzas/Shreve: Brownian Motion and Stochastic Calculus (1988),ch. 3, in particular p. 137 ff by specialization. Concerning skewness I think this is $0$, but I don't have a reference. Higher moments may be more difficult. | |
| S Nov 25, 2020 at 9:25 | history | suggested | gmvh |
Added top-level and "moments" tags
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| Nov 25, 2020 at 8:45 | review | Suggested edits | |||
| S Nov 25, 2020 at 9:25 | |||||
| Nov 25, 2020 at 6:01 | history | edited | John Doe | CC BY-SA 4.0 |
edited body
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| Nov 25, 2020 at 5:38 | history | edited | David Roberts♦ | CC BY-SA 4.0 |
Fixed Itō's name
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| Nov 25, 2020 at 4:14 | history | edited | John Doe | CC BY-SA 4.0 |
edited body
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| Nov 24, 2020 at 16:17 | history | asked | John Doe | CC BY-SA 4.0 |