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Jackie Lu
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Root problem involving error function
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Infinite-time, Path-Dependent Expected Value of an Orstein-Uhlenbeck process
Actually $\frac{1}{\int_{0}^{\infty}f(X_s)ds}=0$ almost surely does not imply $\lim_{t\rightarrow\infty}\mathbb{E}\left\{\left(\frac{1}{\int_{0}^{t}f(X_s)ds}\right)^2\right\}=0$, but what about $\mathbb{E}\left\{\left(\frac{1}{\int_{0}^{\infty}f(X_s)ds}\right)^2\right\}$?
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Infinite-time, Path-Dependent Expected Value of an Orstein-Uhlenbeck process
@S.Surace $X_\infty$ is $\lim_{t\rightarrow\infty}X_t$.
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Infinite-time, Path-Dependent Expected Value of an Orstein-Uhlenbeck process
Sorry but can you explain the last step a bit more? (3) implies that $\frac{1}{\int_{0}^{\infty}f(X_s)ds}=0$ almost surely, and that does not necessarily mean $\mathbb{E}\left\{\left(\frac{1}{\int_{0}^{\infty}f(X_s)ds}\right)^2\right\}=0$, right?
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A problem involving the Error Function
r(0+)=1/a instead of r(0+)=\infty
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A problem involving the Error Function
Wow Thank you!!! I didn't finish reading yet but a first glance at your paper already shows how powerful and relevant it is! Thank you for pointing out such a relevant reference!
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