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Closed-form expansion, conditional expectation, and option valuation
asymptotic expansion diffusion option pricing conditional expectation iterated stochastic integral
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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...
Properties of Conditional Expectation Operators and Sufficient Subfields
Conditional Expectation Sufficient Subfields
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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...
Almost sure convergence and in quadratic mean of the gradient stochastic process for the sequential estimation of a conditional expectation
Stochastic approximation Conditional expectation
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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...