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Results tagged with stochastic-processes
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user 46773
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
1
vote
Smoothness of $g(t,x)=\mathbb{E}[f(X_T)|\mathcal{F}_t]$
I assume here the $x$ variable is the initial condition of you process? Here is a partial answer: if $(\mathcal F_t)$ is the brownian filtration, then by Itô's martingale representation theorem for an …
- 630
2
votes
Accepted
Running supremmum of a Levy process
See Theorem 25.18 p168 in "Lévy Processes and Infinitely Divisible Distributions" by K-I Sato
- 630