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Results tagged with stochastic-processes
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user 106391
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
1
vote
1
answer
2k
views
Covariance of the product of a stochastic integral and riemann integral
Right now, I want to figure out the covariance of a stochastic integral and a riemann integral in the following form:
$$E\left(\int_{0}^{t}\exp[B(t)-B(s)]ds \cdot \int_{0}^{t}\exp[B(t)-B(s)]dW(s)\rig …
- 135
2
votes
2
answers
11k
views
How to Calculate the Expectation and Variance for Stochastic Integral with correlated Browni...
Right now I dont know how to find the expectation and the variance for the following stochastic integral:
$$\int_{0}^t B(s) dW(s)$$
where $B(t)$ and $W(t)$ are correlated standard Brownian Motions wit …
- 135