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Results tagged with pr.probability
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user 31040
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
4
votes
Converse to Girsanov's theorem?
http://books.google.com.sg/books?id=YoMr5Mbo6coC&pg=PA164&lpg=PA164&dq=bjork+girsanov+theorem&source=bl&ots=imju5rQt6e&sig=Tp9bgNO6hDNZEXuEy6tmBs5nwZY&hl=en&sa=X&ei=HYkUUdaELoqKrgesioHYDA&redir_esc=y# …
- 583
3
votes
Mathematical properties of financial prices
The question is too open-ended. There is indeed a plethora of literature available..
For stock market, it started with Bachelier who assumed normally distributed stock prices (not even returns, but a …
- 583