Lévy theorem - Ch9

Discussion in 'CM2' started by Sandor Kelemen, Mar 8, 2019.

  1. Hello everyone,

    Can anybody give me a solid reference to the form of Levy theorem used in Chapter 9 to characterize Brownian motions?

    This article
    http://individual.utoronto.ca/norma.../Levy_characterization_of_Brownian_motion.pdf
    is talking about quadratic variations as a central concept.

    Comparing the covariation definition mentioned in
    https://en.wikipedia.org/wiki/Quadratic_variation
    and in the CMP I see some risk that for stochastic processes there are two different definitions (with different, i.e. not equivalent, underlying meaning).

    Therefore I think that there is a chance that Levy's theorem is used inappropriately in the CMP.

    Hopefully, there will be somebody who could help me out on this. Thanks in advance!
     
  2. Steve Hales

    Steve Hales ActEd Tutor Staff Member

    Hi
    As you've noted, the Core Reading does not give a robust statement of Levy's Theorem. This has been referred back to the IFoA for clarification.
    Thanks
     
    Sandor Kelemen likes this.
  3. AlexLky

    AlexLky Very Active Member

    Hi,

    Was there any confirmation on this? Thanks.
     
  4. PoojaS

    PoojaS Member

    Can I check if APT is now deleted from the course?
    So is Vasicek two factor model?
     
  5. Anna Bishop

    Anna Bishop ActEd Tutor Staff Member

    Yes, both APT and Vasicek two factor deleted from the syllabus.
     

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