diff --git a/.DS_Store b/.DS_Store index 46de23a..175f0f5 100644 Binary files a/.DS_Store and b/.DS_Store differ diff --git a/Dissertation/ann_rep_brownian_motion_monte_carlo.tex b/Dissertation/ann_rep_brownian_motion_monte_carlo.tex index 247eab8..4969022 100644 --- a/Dissertation/ann_rep_brownian_motion_monte_carlo.tex +++ b/Dissertation/ann_rep_brownian_motion_monte_carlo.tex @@ -889,7 +889,7 @@ Let $t \in \lp 0,\infty\rp$ and $T \in \lp t,\infty\rp$. Let $\lp \Omega, \mathc &=2\cdot \E\lb \lp \int^t_s d\cW_r^d\rp^2\rb \nonumber\\ &=2\cdot \E \lb \lp \cW^d_{t-s}\rp^2\rb \end{align} -\end{proof} + Note now that: \begin{align} \va \lb \cW^d_{t-s}\rb &= \E \lb \lp \cW_{t-s}^d\rp^2\rb - \E \lb \cW^d_{t-s}\rb^2 \nonumber \\ @@ -898,11 +898,27 @@ Note now that: \end{align} Now note that since $\cW^d_r$ are standard Brownian motions, and their expectation and variance are $\mymathbb{0}_d$ and $\mathbb{I}_d$ respectively. Whence it is the case that the probability density function for $\cW_{t-s}^d$ is: \begin{align} - \lp 2\pi\rp^{-\frac{d}{2}}\lp t-s\rp^{-\frac{1}{2}}\exp \lp \frac{-1}{2(t-s)}\mymathbb{e}_{1,d}\cdot \lb x \rb_*^2\rp + \ff_{\cW^d_{t-s}} \lp x\rp= \lp 2\pi\rp^{-\frac{d}{2}}\lp t-s\rp^{-\frac{1}{2}}\exp \lp \frac{-1}{2(t-s)}\mymathbb{e}_{1,d}\cdot \lb x \rb_*^2\rp \end{align} -However $\cX^{d,t,x}_s$ is a shifted normal distribution +However $\cX^{d,t,x}_s$ is a shifted normal distribution, specifically shifted by $x$. Its p.d.f. is thus: +\begin{align} + \ff_{\cX^{d,t,x}_s}\lp \scrX \rp = \lp 2\pi\rp^{-\frac{d}{2}}\lp t-s\rp^{-\frac{1}{2}}\exp \lp \frac{-1}{2(t-s)}\mymathbb{e}_{1,d}\cdot \lb \scrX +x\rb_*^2\rp +\end{align} +The Law of the Unconscious Statistician then says that: +\begin{align} + \E \lb \fu^T_d \lp \cX^{d,t,x}_s\rp\rb = \int_{\R^d}\fu^T_d\lp \scrX\rp\cdot \ff_{\cX^{d,t,x}_s}\lp \scrX\rp d\scrX +\end{align} +And further that: +\begin{align} + \E \lb \alpha_d \lp \cX^{d,t,x}_s\rp\rb = \int_{\R^d} \alpha_d\lp \scrX\rp\cdot \ff_{\cX^{d,t,x}_s}\lp \scrX\rp d\scrX +\end{align} + +\textcolor{red}{\textbf{Need to re-examine $\fu^T_d, \alpha_d$}} + +Now note this that +\end{proof}