Simple example for a predictable process that is not in $L(X)$ for a semimartingale $X$
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I am supposed to find some simple and basic examples for semimartingales $X$ and predictable processes $H$ such that $Hnotin L(X)$, that means $H$ is not integrable with respect to $X$.
Do you have such examples in mind? Are there even processes which are commonly used in finance / physics that can be used as examples?
Thank you very much.
stochastic-calculus stochastic-integrals stochastic-analysis
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I am supposed to find some simple and basic examples for semimartingales $X$ and predictable processes $H$ such that $Hnotin L(X)$, that means $H$ is not integrable with respect to $X$.
Do you have such examples in mind? Are there even processes which are commonly used in finance / physics that can be used as examples?
Thank you very much.
stochastic-calculus stochastic-integrals stochastic-analysis
1
$H_t=1/t,X_t=t$
– JGWang
Nov 19 at 3:25
Thank you very much. That is easy indeed.
– Agnetha Timara
Nov 23 at 11:20
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
I am supposed to find some simple and basic examples for semimartingales $X$ and predictable processes $H$ such that $Hnotin L(X)$, that means $H$ is not integrable with respect to $X$.
Do you have such examples in mind? Are there even processes which are commonly used in finance / physics that can be used as examples?
Thank you very much.
stochastic-calculus stochastic-integrals stochastic-analysis
I am supposed to find some simple and basic examples for semimartingales $X$ and predictable processes $H$ such that $Hnotin L(X)$, that means $H$ is not integrable with respect to $X$.
Do you have such examples in mind? Are there even processes which are commonly used in finance / physics that can be used as examples?
Thank you very much.
stochastic-calculus stochastic-integrals stochastic-analysis
stochastic-calculus stochastic-integrals stochastic-analysis
asked Nov 18 at 13:42
Agnetha Timara
966
966
1
$H_t=1/t,X_t=t$
– JGWang
Nov 19 at 3:25
Thank you very much. That is easy indeed.
– Agnetha Timara
Nov 23 at 11:20
add a comment |
1
$H_t=1/t,X_t=t$
– JGWang
Nov 19 at 3:25
Thank you very much. That is easy indeed.
– Agnetha Timara
Nov 23 at 11:20
1
1
$H_t=1/t,X_t=t$
– JGWang
Nov 19 at 3:25
$H_t=1/t,X_t=t$
– JGWang
Nov 19 at 3:25
Thank you very much. That is easy indeed.
– Agnetha Timara
Nov 23 at 11:20
Thank you very much. That is easy indeed.
– Agnetha Timara
Nov 23 at 11:20
add a comment |
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1
$H_t=1/t,X_t=t$
– JGWang
Nov 19 at 3:25
Thank you very much. That is easy indeed.
– Agnetha Timara
Nov 23 at 11:20