An Analytical Characterization for an Optimal Change of Gaussian Measures Henry Schellhorn Abstract. We consider two Gaussian measures. In the "initial" measure the state variable is Gaussian, with zero drift, and time-v - Diffusion process - Document - PDFSEARCH.IO

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	An Analytical Characterization for an Optimal Change of Gaussian Measures Henry Schellhorn Abstract. We consider two Gaussian measures. In the "initial" measure the state variable is Gaussian, with zero drift, and time-v Add to Reading List Document Date: 2014-01-28 14:43:18 Open Document File Size: 112,26 KB Share Result on Facebook Company Cox / / Currency pence / / / Facility University of Illinois / University of Texas / / IndustryTerm mathematical finance / nonlinear systems / finance / / MusicAlbum Rouge / / OperatingSystem Hurd / / Organization University of Texas at Austin / University of Illinois / Urbana-Champaign / Royal Society / School of Mathematical Sciences Claremont Graduate University Claremont / / Person Henry Schellhorn / / / Position Rt / cumulated variance RT / / ProvinceOrState Texas / Illinois / California / / PublishedMedium Proceedings of the Royal Society / / Technology simulation / / SocialTag Stochastic differential equations Probability theory Ornstein–Uhlenbeck process Gaussian measure Optimal control Normal distribution Itō diffusion Statistics Mathematical analysis Stochastic processes

An Analytical Characterization for an Optimal Change of Gaussian Measures Henry Schellhorn Abstract. We consider two Gaussian measures. In the "initial" measure the state variable is Gaussian, with zero drift, and time-vAdd to Reading List