Let (S) be the solution of [d S_{t}=S_{t}^{2} d W_{t}] where (W) is a Brownian motion. Prove
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Let \(S\) be the solution of
\[d S_{t}=S_{t}^{2} d W_{t}\]
where \(W\) is a Brownian motion. Prove that \(X=1 / S\) is a Bessel process of dimension 3.
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Related Book For
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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