Timeline for Derivation of HJB equation
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 21, 2015 at 18:30 | comment | added | Kumar | You need integrability conditions on $v^{'}$. It must be adaptable and belong to ${{\cal L}^2}$ then you have an Ito integral whose expectation must be zero. | |
| May 21, 2015 at 20:38 | comment | added | Pcw. | You are saying that $E_t\{\int_t^{t+dt} v'(x_s)dZ_s\}=0$? I've just started to deal with continuous time stuff, but it is not obvious to to me why (I get that $E_t\{\int_t^{t+dt}dZ_s\}=0$ though). | |
| May 21, 2015 at 19:56 | history | answered | AFK | CC BY-SA 3.0 |