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Brownian compensator martingale

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Brownian motion Brownian transition semigroup
Created 2026-09-24 Updated 2026-10-03  0 By others on same topic  0 Discussions Create my own version
For a twice differentiable integrable test function f and Brownian motion W,
f(Wt​)−21​∫0t​f′′(Ws​)ds
(1)
is a martingale. This is the one-dimensional generator form of Dynkin's formula.

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  1. Brownian transition semigroup
  2. Brownian motion
  3. Stochastic process
  4. Probability theory
  5. Probability and statistics
  6. Area of mathematics
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 Incoming links (1)

  • Past exam of the mathematics course of the University of Cambridge / 2025 / ii / Paper 4 / 29K / c / Solution

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