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Results tagged with stochastic-calculus
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user 12586
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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Upper bound on the maxima of ratio of expectation of quantities under Gaussian measure
Let $\lambda,\eta >0$ be given, and $u:\mathbb{R}\rightarrow \mathbb{R}$ be a real valued function. Define
$$\Delta(u)= \frac{\int u(h) \exp(-\eta u(h))\exp(-\frac{\lambda}{2}h^2)~\mathrm{d}h}{\int \ …
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