Let (y) be a continuous positive function vanishing at 0 : (y(0)=0). Prove that there exists a
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Let \(y\) be a continuous positive function vanishing at 0 : \(y(0)=0\). Prove that there exists a unique pair of functions \((z, k)\) such that
(i) \(k(0)=0\), where \(k\) is an increasing continuous function
(ii) \(z(t)+k(t)=y(t), z(t) \geq 0\)
(iii) \(\int_{0}^{t} \mathbb{1}_{\{z(s)>0\}} d k(s)=0\)
(iv) \(\forall t, \exists d(t) \geq t, z(d(t))=0\)
\(k^{*}(t)=\inf _{s \geq t}(y(s))\).
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Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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