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      A stochastic process is a collection of random variables usually indexed by a totally ordered set.

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      In the conventional Ito's formula, it is required that $F$ is $C^2$ everywhere. However I've seen mentioning of a slightly weaker condition, where $F$ is $C^1$ everywhere but $C^2$ a.e.. Is there any …
      asked Sep 13 by Jackie Lu
      4
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      I am dealing with an Orstein-Uhlenbeck process $X_t$ with its stochastic differential equation being $$dX_t=(\mu-X_t)dt+\sigma dW_t.$$ I want to show $$\mathbb{E}\left[\frac{|X_\infty|}{\int_{0}^{\ …
      asked Jan 2 '18 by Jackie Lu

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