Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with pr.probability
Search options not deleted
user 22694
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
3
votes
0
answers
316
views
Joint distribution of Ito integral and its quadratic varation
Any idea on solving the joint distribution of
$X_T=\int_0^T \alpha_t dZ_t$ and $Y_T=\int_0^T \alpha_t^2 dt$ ? Here $X_T$ is an Ito integral and $Z_t$ is a standard Brownian process. When $\alpha_t$ an …
- 118
2
votes
Accepted
Given a Levy Exponent find the jump-measure and drift
Once you get $\gamma$, you can calculate
$\frac{\phi'(\lambda)-\gamma}{\lambda}=\int_0^\infty e^{-\lambda s}\nu(ds)$
and $\nu$ can be obtained by Laplace inversion.
- 118