Gyöngy Theorem Proof

Asked May 07 '18 at 06:10

Active May 07 '18 at 06:10

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Can you please point me to a publicly available text that discusses the proof for the Gyöngy Theorem?

Gyöngy, I. (1986), “Mimicking the One-Dimensional Marginal Distributions of Processes Having an Ito Differential,” Probability Theory and Related Fields, 71, 501-516.

Any text that gives just the intuition of why this theorem is true would also be great.

asked May 07 '18 at 06:10

Discretizer

2

See here for some intuition + light calculus : http://www.opentradingsystem.com/quantNotes/Gyongy_s_lemma_.html#Gyongy lemma section – Quantuple May 07 '18 at 08:08
Thanks a lot @Quantuple. The site is very useful not just for Gyöngy Lemma but for other subjects in Quant Fin too. – Discretizer May 09 '18 at 04:03
Glad it helped! – Quantuple May 09 '18 at 16:22

Gyöngy Theorem Proof

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