Prove that as 0, the expected long rate r(0, T) becomes a function of T...

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Prove that as → 0, the expected long rate r(0, T) becomes a function of T that will go infinitely negative at T→→ ∞ in the Vasicek model dR = X(RR)dt + odß (3.46) In other words if there is no tension in the spring pulling it back to a long-term average, an impossible situation will result. Use (3.57). Prove that as → 0, the expected long rate r(0, T) becomes a function of T that will go infinitely negative at T→→ ∞ in the Vasicek model dR = X(RR)dt + odß (3.46) In other words if there is no tension in the spring pulling it back to a long-term average, an impossible situation will result. Use (3.57).

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