Search Results
Search type | Search syntax |
---|---|
Tags | [tag] |
Exact | "words here" |
Author |
user:1234 user:me (yours) |
Score |
score:3 (3+) score:0 (none) |
Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
Views | views:250 |
Code | code:"if (foo != bar)" |
Sections |
title:apples body:"apples oranges" |
URL | url:"*.example.com" |
Saves | in:saves |
Status |
closed:yes duplicate:no migrated:no wiki:no |
Types |
is:question is:answer |
Exclude |
-[tag] -apples |
For more details on advanced search visit our help page |
5
votes
Accepted
Why this stochastic integral is calculated with Riemann integral
For any semi martingale $X$ (in particular for $X_t=W_t$ or for $X_t=t$) we have
$$\tag{1}
\int_0^t dX_s=X_t-X_0\,.
$$
You are correct that the Ito integral uses the limit procedure
$$\tag{2}
\int_0^t …
1
vote
Parametric Stochastic Integral
I am having trouble to understand your notation
$$
\int_t^Td\xi(t,s)g(s)\,ds\,.
$$
What is the meaning of this when you switch from the differential form $dF_t$ to the integral form
$$
F_t=F_0-\int_0^ …