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Results tagged with reference-request
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user 9564
This tag is used if a reference is needed in a paper or textbook on a specific result.
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Time integrals of diffusion processes
I was wondering if someone could recommend a reference that deals with time integrals of diffusion processes.
Suppose $X$ is an Ito diffusion process with dynamics
$dX_t = \mu(X_t)dt + \sigma(X_t)dW_ …
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