a**m
发帖数: 102 | 1 who have any thoughts to show the following statement:
The expected number of times that a brownian motion W hits a particular value in a
given interval of time is infinity. |
f****e
发帖数: 590 | 2 没读懂题。。。
是说expected hitting time是infinity么？
in a
【在 a**m 的大作中提到】
: who have any thoughts to show the following statement:
: The expected number of times that a brownian motion W hits a particular value in a
: given interval of time is infinity.
|
a**m
发帖数: 102 | 3 写错了，现在改回来了。是说给定区间内到达某值的次数的期望。
【在 f****e 的大作中提到】
: 没读懂题。。。
: 是说expected hitting time是infinity么？
:
: in a
|
f*******g
发帖数: 377 | 4 Consider the terminal distribution for any time point within the given
interval of time (so you have infinite observation points).
For any particular value, the cumulative prob above that value & the
cumulative prob below that value are all positive. |
f****e
发帖数: 590 | 5 bm是不是在任意小区间内hit 0的次数的期望是infinity？
【在 a**m 的大作中提到】
: 写错了，现在改回来了。是说给定区间内到达某值的次数的期望。
|
J******d
发帖数: 506 | 6 This is a characterization of Brownian motion. A lot of introduction books
on stochastic calculus have proofs. I know for sure this book has it:
http://www.amazon.com/gp/product/1860945554/ref=ox_ya_oh_product
try your luck with google book. |
f****e
发帖数: 590 | 7 这么解释连poisson process都满足了？
【在 f*******g 的大作中提到】
: Consider the terminal distribution for any time point within the given
: interval of time (so you have infinite observation points).
: For any particular value, the cumulative prob above that value & the
: cumulative prob below that value are all positive.
|
