Timeline for stochastic control / geometric mean
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 20, 2017 at 12:31 | comment | added | Suvrit | Quite interesting; could you provide some more background (e.g., publication / textbook ref. etc.) about this problem (I know it's several years old, but I'm still curious). | |
| Jan 26, 2016 at 19:40 | comment | added | Abhishek Halder | Did you figure out an answer to your question? I would also be interested to learn about the "convoluted" derivation that you mentioned, so if possible, please feel free to point me if there is a document I can take a look at. | |
| Jan 26, 2016 at 18:27 | comment | added | Bernard | @AbhishekHalder yes thank you, edit made. | |
| Jan 26, 2016 at 18:27 | history | edited | Bernard | CC BY-SA 3.0 |
added 3 characters in body
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| Jan 25, 2016 at 17:27 | comment | added | Abhishek Halder | Perhaps you meant to write the SDE as $dx_{t} = -Kx_{t} dt + \Sigma dW_{t}$ | |
| Apr 4, 2012 at 20:02 | history | asked | Bernard | CC BY-SA 3.0 |