Question on Gÿongy' lemma proof Planned maintenance scheduled April 23, 2019 at 23:30 UTC (7:30pm US/Eastern) Announcing the arrival of Valued Associate #679: Cesar Manara Unicorn Meta Zoo #1: Why another podcast?Deterministic interpretation of stochastic differential equationquestion on Leif Andersen's “Interest Rate Modeling, vol 2 Term Structure Models”Ito, Stochastic Exponential and GirsanovDupire's formula proofIs the 'constant weight in the risky asset' portfolio-strategy self-financing?Ito representation unique up to indistinguishability? Proof?Calculating the stochastic integral of $exp(-rt)S_t$Conditional Expectation with Indicator Functions for Poisson Process First Jump Time (Option Pricing PDE)On quadratic covariationDerivation and expectation interchange
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Question on Gÿongy' lemma proof
Planned maintenance scheduled April 23, 2019 at 23:30 UTC (7:30pm US/Eastern)
Announcing the arrival of Valued Associate #679: Cesar Manara
Unicorn Meta Zoo #1: Why another podcast?Deterministic interpretation of stochastic differential equationquestion on Leif Andersen's “Interest Rate Modeling, vol 2 Term Structure Models”Ito, Stochastic Exponential and GirsanovDupire's formula proofIs the 'constant weight in the risky asset' portfolio-strategy self-financing?Ito representation unique up to indistinguishability? Proof?Calculating the stochastic integral of $exp(-rt)S_t$Conditional Expectation with Indicator Functions for Poisson Process First Jump Time (Option Pricing PDE)On quadratic covariationDerivation and expectation interchange
$begingroup$
I have some questions regarding a proof of Gÿongy's lemma given in 1
I would like to understand the following passage:
$$
int_s=t_0^s=tmathbbEleft[delta(X_s-K)langle dX_srangle^2 right]=
int_s=t_0^s=tmathbbEleft[delta(X_s-K) right] mathbbEleft[langle dX_srangle^2|X_s=K right]
$$
Thanks
stochastic-calculus
asked 2 hours ago
AguelmameAguelmame
411
$endgroup$
add a comment |
$begingroup$
I have some questions regarding a proof of Gÿongy's lemma given in 1
I would like to understand the following passage:
$$
int_s=t_0^s=tmathbbEleft[delta(X_s-K)langle dX_srangle^2 right]=
int_s=t_0^s=tmathbbEleft[delta(X_s-K) right] mathbbEleft[langle dX_srangle^2|X_s=K right]
$$
Thanks
stochastic-calculus
asked 2 hours ago
AguelmameAguelmame
411
$endgroup$
add a comment |
$begingroup$
I have some questions regarding a proof of Gÿongy's lemma given in 1
I would like to understand the following passage:
$$
int_s=t_0^s=tmathbbEleft[delta(X_s-K)langle dX_srangle^2 right]=
int_s=t_0^s=tmathbbEleft[delta(X_s-K) right] mathbbEleft[langle dX_srangle^2|X_s=K right]
$$
Thanks
stochastic-calculus
asked 2 hours ago
AguelmameAguelmame
411
$endgroup$
I have some questions regarding a proof of Gÿongy's lemma given in 1
I would like to understand the following passage:
$$
int_s=t_0^s=tmathbbEleft[delta(X_s-K)langle dX_srangle^2 right]=
int_s=t_0^s=tmathbbEleft[delta(X_s-K) right] mathbbEleft[langle dX_srangle^2|X_s=K right]
$$
Thanks
stochastic-calculus
stochastic-calculus
asked 2 hours ago
AguelmameAguelmame
411
asked 2 hours ago
AguelmameAguelmame
411
asked 2 hours ago
AguelmameAguelmame
411
asked 2 hours ago
AguelmameAguelmame
411
asked 2 hours ago
AguelmameAguelmame
411
411
add a comment |
add a comment |
1 Answer
1
active
oldest
votes
$begingroup$
If $X_s neq K $ then the delta function gives zero, and the product is zero. So the term only contributes when $X_s=K$.
answered 54 mins ago
Magic is in the chainMagic is in the chain
1,07915
$endgroup$
add a comment |
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$begingroup$
If $X_s neq K $ then the delta function gives zero, and the product is zero. So the term only contributes when $X_s=K$.
answered 54 mins ago
Magic is in the chainMagic is in the chain
1,07915
$endgroup$
add a comment |
$begingroup$
If $X_s neq K $ then the delta function gives zero, and the product is zero. So the term only contributes when $X_s=K$.
answered 54 mins ago
Magic is in the chainMagic is in the chain
1,07915
$endgroup$
add a comment |
$begingroup$
If $X_s neq K $ then the delta function gives zero, and the product is zero. So the term only contributes when $X_s=K$.
answered 54 mins ago
Magic is in the chainMagic is in the chain
1,07915
$endgroup$
If $X_s neq K $ then the delta function gives zero, and the product is zero. So the term only contributes when $X_s=K$.
answered 54 mins ago
Magic is in the chainMagic is in the chain
1,07915
answered 54 mins ago
Magic is in the chainMagic is in the chain
1,07915
answered 54 mins ago
Magic is in the chainMagic is in the chain
1,07915
answered 54 mins ago
Magic is in the chainMagic is in the chain
1,07915
1,07915
add a comment |
add a comment |
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