Timeline for On a martingale defined via some SDE
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
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| Mar 8, 2023 at 9:00 | comment | added | Pierre PC | If $C$ is (continuous, finite) adapted, then the above will be one solution to the equation, and $\mathbb P(\{X_t\to1\}\Delta\{I=\infty\})=0$ for $\Delta$ the symmetric difference. I think the solution will be unique up to explosion, and by the explicit expression we know it actually does not blow up. | |
| Mar 7, 2023 at 17:28 | comment | added | Fawen90 | Thanks for the answer. If my understanding is correct, when $C$ is an adapted stochastic process, i.e. $C=(C_t: t\ge 0)$, the above expression is still the solution, right? | |
| Mar 7, 2023 at 17:27 | vote | accept | Fawen90 | ||
| Mar 7, 2023 at 12:06 | history | answered | Pierre PC | CC BY-SA 4.0 |