Timeline for Expectation of time integral of Wiener process
Current License: CC BY-SA 2.5
4 events
| when toggle format | what | by | license | comment | |
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| Oct 15, 2010 at 4:19 | comment | added | Cosmonut | Thanks, I like this. Looks like this approach can be generalized to work out the expectation of integrals of various functions of a Weiner process as well, such as exp(W_s). | |
| Oct 15, 2010 at 4:16 | vote | accept | Cosmonut | ||
| Oct 15, 2010 at 1:03 | comment | added | Tom LaGatta | This is the way to do it. Any invocation of martingales, running maximum, etc., is overkill for this problem. | |
| Oct 14, 2010 at 14:44 | history | answered | Nate Eldredge | CC BY-SA 2.5 |