0
$\begingroup$

How can I write the following expectation $E[f(X_t,X_s)]$ by means of a Lebesgue integral and the density of $X_t$? where $f$ is a "nice" function and $X_t$ is a process without independent increments!

Is there a way to do it without using joint distributions if we know the quantity $E[(X_t-X_s)X_s]$ for $t>s$?

  • 0
    @RobertIsrael: $f$ is of the form $f(X_t,X_s)=f(X_t)f(X_s)$ I mean, it is in fact a product of functions.2012-10-29

0 Answers 0