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Results tagged with martingales
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user 47322
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Accepted
Stochastic integration by parts to obtain Kailath Segall identity for iterated stochastic in...
The case $n=1$ is straighfoward. Now, applying Ito's formula and the definition of $\{I_n\}$ to integrate by parts we have:
\begin{align*}
I_n = \int_0^t I_{n-1} (s) \ d M_s = I_{n-1}M - \int_0^t I …
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