Timeline for Is a stopped Ito-integral integrable if the Ito integrand is only square-integrable on an open interval?
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Feb 15, 2021 at 8:18 | comment | added | Stephan Sturm | You might also try to look up “suicide strategy” in the financial math literature. It is intimately tied to this problem as well as the classic (D. Bernoulli in the 18th century) St. Petersburg paradox. | |
| Feb 15, 2021 at 8:16 | vote | accept | Kolodez | ||
| Feb 15, 2021 at 8:14 | comment | added | Stephan Sturm | Consider a time change $u = Log(T-t)$. Then this is equivalent to that Brownian motion hits 1 in finite time. | |
| Feb 15, 2021 at 7:59 | comment | added | Kolodez | Thanks. Intuitively, I see why $\mathbb P[\tau < T] = 1$. But is there a way to briefly argue for this mathematically? | |
| Feb 15, 2021 at 7:53 | history | answered | Stephan Sturm | CC BY-SA 4.0 |