p*****d
发帖数: 130 | 1 w(t_j) is brownian motion, Z_j=(w(t_j+1)-w(t_j))^2 is F(t_j+1)-measurable,
how
to calculate E[Z_j|F(t_j)]? thank you. | c****o
发帖数: 1280 | 2 w(t_j+1)-w(t_j) is independent from F(t_j), so the answer is t_j+1-t_j
【在 p*****d 的大作中提到】
: w(t_j) is brownian motion, Z_j=(w(t_j+1)-w(t_j))^2 is F(t_j+1)-measurable,
: how
: to calculate E[Z_j|F(t_j)]? thank you.
|
|
