Timeline for Moment generating function of a stopped process from Wald's identity
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Apr 30, 2021 at 17:41 | review | Close votes | |||
| May 15, 2021 at 3:08 | |||||
| Apr 30, 2021 at 17:32 | comment | added | Ma Joad | @Kostya_I I mean, we can include some information $T$ and combine it with the result above. | |
| Apr 30, 2021 at 17:31 | comment | added | Kostya_I | The moment generating function of $S_T$ uniquely determines the distribution of $S_T$, so obviously it cannot be determined uniquely without using some information about how $T$ is defined. Moreover, if it were Brownian motion not RW, then Skorokhod's embedding theorem says that $S_T$ can be distributed in arbitrary way (say, with finite second moment). | |
| Apr 30, 2021 at 16:17 | history | asked | Ma Joad | CC BY-SA 4.0 |