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Brownian compensator martingale

For a twice differentiable integrable test function and Brownian motion ,
(42)
is a martingale. This is the one-dimensional generator form of Dynkin's formula.

Ancestors (8)

  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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