Lida pointed out CoM (change of measure) means that given a pdf bell curve, we change its mean while preserving its "shape"! I guess the shape is the LN shape?

I guess CoM doesn't always preserve the shape.

Lida explained how to change one Expectation integral into another... Radon Nikodym.

The concept of operating under a measure (call it f) is fundamental and frequently mentioned but abstract...

Aha - Integrating the expectation against pdf f() is same as getting the expectation under measure-f. This is one simple, if not rigorous, interpretation of operating under a given measure. I believe there's no BM or GBM, or any stochastic process at this stage -- she was describing how to transform one static pdf curve to another by changing measure. I think Girsanov is different. It's about a (stochastic) process, not a static distribution.

## Tuesday, June 9, 2015

### Radon-Nikodym derivative (Lida video)

Labels: fMathStoch

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