Prove that for any (lambda>0), [left(L_{lambda^{2} t}^{x} ; x, t geq 0 ight) stackrel{text { law }}{=}left(lambda
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Prove that for any \(\lambda>0\),
\[\left(L_{\lambda^{2} t}^{x} ; x, t \geq 0\right) \stackrel{\text { law }}{=}\left(\lambda L_{t}^{x / \lambda} ; x, t \geq 0\right) .\]
In particular, the following equality in law holds true \[\left(L_{\lambda^{2} t}^{0}, t \geq 0\right) \stackrel{\text { law }}{=}\left(\lambda L_{t}^{0}, t \geq 0\right) .\]
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Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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