Conditional Expectations Question - Quant版 - 未名存档

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Quant版 - Conditional Expectations Question

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话题: question话题: sdes话题: here

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L*******t 发帖数: 2385	1 Does E_{t-2} [ E_{t-1} [f(Y_t) \| X_t] ] = E_{t-2} [f(Y_t) \| X_t] Hold? Here Y_t and X_t are solutions to SDEs and they are not independent. Thanks!
s******k 发帖数: 6659	2 Would it be E_{t-2} [f(Y_t)] by the tower rule? 【在 L*******t 的大作中提到】 : Does : E_{t-2} [ E_{t-1} [f(Y_t) \| X_t] ] = E_{t-2} [f(Y_t) \| X_t] : Hold? Here Y_t and X_t are solutions to SDEs and they are not independent. : Thanks!
m*****n 发帖数: 3575	3 你把 [f(Y_t) \| X_t] 看作一个t时刻的随机变量就可以用tower了

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● Conditional Independence的问题	● [合集] a conditional expection problem
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● Solution to d X_t = X^{1.5} dB_t?	● how to calculate E[X\|X]?
● Is Vascicek model the same as Ornstein-Uhlenbeck process?	● A random walk problem.
● 一个SDE	● chimbo的No.18题
● [合集] interview question 7	● W(t/2) + W(t) is a martingale ?

相关话题的讨论汇总
话题: question话题: sdes话题: here

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