15 сент. 2016 г. · Calculations which are difficult under one measure can often become very simple if we change to a suitably modified measure.

12 апр. 2020 г. · When we look at the change of measure in probability theory, are the R-N derivative always computed on the level of probability density (defined ...

10 февр. 2015 г. · Change of measure method ... Do you have any idea how to tackle this? I don't expect full solution, I will appreciate any hint... ... Is (Wt) ...

8 июн. 2016 г. · Change of measure is a mathematical operation, useful in various ways and situations. Change of numéraire has an economic rationale; instead of using one numé ...

12 мар. 2022 г. · I have just started reading about stochastic calculus, and I am confused about transforming certain types of SDE using the Girsanov theorem.

14 дек. 2016 г. · As you said, if we have a measurable map F:X→Y, we can always use F to push measures forward from X to Y by defining the pushforward measure ...

16 мар. 2018 г. · This is a standard exercise in proving identities with the Lebesgue integral. Prove it first with a simple function, i.e. if ϕ(ω)=∑aiχAi(ω) ...

18 июн. 2019 г. · The radon nikodym theorem says, that EQ(X)=EP(ZX) where Z=dQ/dP the change of measure. I am not interested in the expectation, but in the law.

22 июн. 2011 г. · The two must coincide for every Fn-measurable random variable U hence one asks that E(Xn+1Zn+1|Fn)=XnZn.

17 нояб. 2015 г. · Even with only two random variables, you may have that they are independent for one probability measure, but not for another probablity measure.