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Results tagged with stochastic-calculus
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user 527651
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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Conditional expectation w.r.t. filtration of Brownian motion as a continuous map of its paths
Let $(\Omega, \mathcal{F}, \mathbb{P})$ be a probability space on which we define Brownian motion $B$ and let us denote by $\mathcal{F}_t$ its natural filtration. Assume we have Itô process $dX_t = \a …
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