Timeline for Change of time or change of measure
Current License: CC BY-SA 2.5
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 8, 2011 at 14:58 | vote | accept | SBF | ||
| Jan 4, 2011 at 11:23 | answer | added | Alekk | timeline score: 6 | |
| Jan 4, 2011 at 10:03 | comment | added | Tim van Beek | Can't one simply calculate the law of $Y_t$ using the Itô symmetry? You have $Y_t = X_0 + \sigma int_0^{\alpha t}$, therefore the increments $Y_t - Y_s$ are Gaussian with variance $\sigma^2 \alpha (t-s)$. When your original measure was Brownian motion $B_t$, X has the same law under Brownian motion as $Y$ has under $\frac{1}{\sqrt(\alpha)} B_t$. | |
| Jan 4, 2011 at 9:54 | answer | added | The Bridge | timeline score: 4 | |
| Jan 4, 2011 at 8:00 | history | asked | SBF | CC BY-SA 2.5 |