Prove (without using the following Proposition!) that the process (left(int_{0}^{t} N_{s-} d M_{s}, t geq 0 ight))
Question:
Prove (without using the following Proposition!) that the process \(\left(\int_{0}^{t} N_{s-} d M_{s}, t \geq 0\right)\) is a martingale, and that the process \(\int_{0}^{t} N_{s} d M_{s}\) is not a martingale.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
Question Posted: