搜索结果: 1-7 共查到“conditional expectation”相关记录7条 . 查询时间(0.109 秒)
Closed-form expansion, conditional expectation, and option valuation
asymptotic expansion diffusion option pricing conditional expectation iterated stochastic integral
2016/1/25
Enlightened by the theory of Watanabe [Watanabe S (1987) Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels. Ann. Probab. 15:1–39] for analyzing generalized rando...
Closed-form expansion, conditional expectation, and option valuation
asymptotic expansion diffusion option pricing conditional expectation iterated stochastic integral
2016/1/20
Enlightened by the theory of Watanabe [Watanabe S (1987) Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels. Ann. Probab. 15:1–39] for analyzing generalized rando...
Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces
Probability algorithms distribution functions conditional expectation
2015/7/8
We examine different ways of numerically computing the distribution function of conditional expectations where the conditioning element takes values in a finite or countably infinite outcome space. Bo...
Properties of Conditional Expectation Operators and Sufficient Subfields
Conditional Expectation Sufficient Subfields
2010/11/24
We discuss some properties of conditional expectation operators, and use these facts to prove an interesting counterexample regarding sufficient statistics. In particular, we show that there exists su...
Stochastic processes with linear conditional expectation and quadratic conditional variance
Stochastic processes linear conditional expectation quadratic conditional variance
2009/9/23
Linear conditional expectations and quadratic conditional
variances determine a class of stochastic processes with
independent increments. Characterizations of the Wiener, Poisson,
gamma, negative ...
ON THE APPROXIMATION OF A RANDOM VARIABLE BY A CONDITIONAL EXPECTATION OF ANOTHER RANDOM VARIABLE
Conditional expectation
2009/9/18
Let X and Y be R-valued random variables on a nonatomic
probability space (8, 5, P). We give conditions under which
Y can be approximated by a conditional expectation of X. In particular,
we prove ...
Almost sure convergence and in quadratic mean of the gradient stochastic process for the sequential estimation of a conditional expectation
Stochastic approximation Conditional expectation
2010/9/10
In this work, we present results of Almost Sure Convergence and in Quadratic Mean of the gradient stochastic process for the sequential estimation of a conditional expectation.
This work is motived b...