The purpose of this note is to identify an interesting and surprising duality between the equations governing the probability distribution and expected value functional of the stochastic process deΓΏned by At := t 0 exp{Zs} ds; t ΒΏ 0; where {Zs: s ΒΏ 0} is a one-dimensional Brownian motion with drift
A geometric note on integration
β Scribed by Nassar H.S. Haidar
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 273 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0898-1221
No coin nor oath required. For personal study only.
β¦ Synopsis
We propose a decomposition principle for the Riemann-Stieltjes integration and study some of its implications which lead to three distinct forms for the Riemann integral for monotonically varying differentiable functions.
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