All Questions
12 questions
1
vote
1
answer
179
views
For fixed $f \in L^2$ and $T>0$, choose $g$ so that $ \mathbb{E}^x[g(T-\tau)\chi_{X_\tau=1}]=-\mathbb{E}^x[f(X_T)\chi_{\tau \ge T}]$
Let $f \in L^2(0,1)$ and $T>0$ be fixed. How can I choose $g \in L^2(0,T)$ such that
\begin{align*}
0\equiv \mathbb{E}^x\left[f\left(X_T\right) \chi_{\tau \geqslant T}+g(T-\tau) \chi_{X_\tau=1}\...
CommunityBot
- 1
4
votes
1
answer
111
views
Scaling of stopped Hölder norm of Brownian motion
I'm interested in the behaviour of the stopped $\alpha$-Hölder norm of a one-dimensional real-valued Brownian motion $(B_t)_{t \geq 0}$ for $\alpha < 1/2$.
For fixed $T>0$, self similarity ...
- 5,474
20
votes
3
answers
2k
views
Do convex and decreasing functions preserve the semimartingale property?
Some time ago I spent a lot of effort trying to show that the semimartingale property is preserved by certain functions. Specifically, that a convex function of a semimartingale and decreasing ...
- 1,446
4
votes
1
answer
291
views
Variance of random variable decreasing in parameter
I did quite a few numerical computations and think the following is true, but I cannot prove it:
Let $\varphi(x):=\sum_{i=1}^n \varphi_i(x_i)$ where $x=(x_1,...,x_n) \in \mathbb{R}^n$ and $\varphi_i \...
- 1,675
0
votes
2
answers
156
views
Show that if $A_{0}(t)+A_{1}(t)W(t)=0$ for all $t$ with $A_{0}$ and $A_{1}$ differentiable in $t$ and $W(t)$ a Wiener process, then $A_{0}=A_{1}=0$
I am learning the quadratic variation of stochastic process, and I am working on an exercise stating that
If for all $t$, we have $$0=A_{0}(t)+A_{1}(t)W(t),$$ where $(A_{0}(t),\mathcal{F}_{t})$ ...
- 1,989
2
votes
2
answers
380
views
Convergence of fraction of expectation values
Let $X_1,...,X_n$ be iid normal random variables.
I am looking for a strategy to establish the following limit for fraction of expectation values
$$\lim_{N \rightarrow \infty} \frac{E(\prod_{1\le i ...
- 128k
6
votes
1
answer
433
views
Triangle inequality for Ito integral?
For Lebesgue integrals one has the triangle inequality saying that for continuous functions let's say
$$\left\vert\int_0^t f(s) \ ds\right\vert \le \Vert f \Vert_{\infty} \int_0^t \ ds$$
Now if ...
- 128k
5
votes
0
answers
696
views
Cadlag and adapted (usual conditions assumed) imply progressively measurable (related to Protter's Stochastic Calculus theorem 6)
Hi maybe someone on here can help me. I have been stuck on showing this fact for several months. I asked this question in the stack exchange and it has floated around for a while but to no avail.
...
- 151
12
votes
2
answers
812
views
Inequality in Gaussian space -- possibly provable by rearrangement?
The following problem arose for my collaborators and me when studying the computational complexity of the Maximum-Cut problem.
Let $f : \mathbb{R} \to \mathbb{R}$ be an odd function. Let $\rho \in [...
- 13.6k
7
votes
1
answer
624
views
Expectation involving maximum of Gaussian variables
Let $X\sim N(0, I_d)$ be a $d$-dimensional Gaussian random vector. Let $W_1, \ldots, W_k \in \mathbb{R}^d$ be $k$ fixed vectors in general positions. It is clear that $w_i^\top X, \ldots, w_k^\top X$ ...
4
votes
1
answer
225
views
Multivariate Zero-Bias Transform
The zero-bias transform for a univariate random variable $W$ is defined as a random variable $W^*$ satisfying
\begin{align}
\mathbb{E} [ W \cdot f(W )] = \mathbb{E} [ f' (W^*)]
\end{align}
for any ...
CommunityBot
- 1
2
votes
0
answers
84
views
limit multiple integral
I want to know if $\lim_{T-> \infty}$ of this integral
$$ \frac{\sigma^{4}C_{H,K}^{2}}{4 T^{4HK}e^{2\theta T }}\\
\times \int\limits_{[0,T]^{4}}e^{\theta(t_{1}-s_{1})}e^{\theta(t_{2}-s_{2})}\left\...
- 25.8k