Timeline for Expectation in a stochastic differential equation
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 31, 2019 at 20:09 | vote | accept | Victor | ||
| Mar 31, 2019 at 20:06 | comment | added | rafaelc | @Victor the first equality comes from the moment-generating function of a normal. Take a look here for more details. In general, $\mathbb{E}[e^X] = e^{\mu + \frac{1}{2} \sigma^2}$ holds whenever $X \sim \mathcal{N}(\mu, \sigma^2)$ | |
| Mar 31, 2019 at 20:00 | comment | added | Victor | I'm quite new to the theory. What is the name of the first equality and under which hypotheses is it true? | |
| Mar 31, 2019 at 19:55 | review | First posts | |||
| Apr 1, 2019 at 13:12 | |||||
| Mar 31, 2019 at 19:52 | history | answered | rafaelc | CC BY-SA 4.0 |