Let Iuml (t) be a deterministic function such that Consider the process Use Ito 's rule to show that this process satisfies dZ Iuml ZdW Deduce that this process is a martingale process Use this fact to find the moment generating Function f(y) E eyX of the random variable Finally, argue that X is no...

Using the fact that for we have dX dW Itos rule on Give dZ ZdW Thus this ...

Let Ï(t) be a deterministic function such that Consider the process Use Ito's rule to show that

Question:

Let Ïƒ(t) be a deterministic function such that

Consider the process

Use Ito's rule to show that this process satisfies
dZ = ÏƒZdW.
Deduce that this process is a martingale process. Use this fact to find the moment-generating
Function
f(y) = E[eyX]
of the random variable

Finally, argue that X is normally distributed, with mean zero and variance

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Organic Chemistry

ISBN: 9788120307209

6th Edition

Authors: Robert Thornton Morrison, Robert Neilson Boyd

See More Books

Question Posted: Jun 29, 2016 12:58 AM

See More Questions

Let the variation function of (8.40) be complex. Then cj = aj + ibj, where aj and bj are real numbers. There are 2n parameters to be varied, namely, the aj's and bj's. (a) Use the chain rule to show...
In Example 18.7 (Section 18.3) we saw that Urms, > Vav. It is not difficult to show that this is always the case. (The only exception is when the particles have the same speed, in which case Urms =...
Bending around Corners Traveling particles do not bend around corners, but waves do. To see why, suppose that a plane wave front strikes the edge of a sharp object traveling perpendicular to the...
State the issues presented to the Court in McCord v. McCord .
The following information relates to the Plus Factors Group plc for the years to 30 September 20X8 and 20X9: Ordinary dividends were declared as follows: Interim 1.12 pence per share (20X8, l.67p)...
Use the ending inventory information for Evanger's Canned Dog Food in the table to calculate the cost of goods available for sale using the specific identification method. Then determine the cost of...
Each year, 33 race cars start the Indianapolis 500. How many ways can the cars finish first, second, and third?
The following events were experienced by Abbot Inc.: 1. Issued cumulative preferred stock for cash. 2. Issued common stock for cash. 3. Distributed a 2-for-1 stock split on the common stock . 4....
Losing to a Weaker Foe What began as a heavily conventional military campaign to unseat the regime of Saddam Hussein had become a bitter, unconventional struggle against frustrated Sunnis who...
In problem 0-4-3[BEZ], assume the energetic efficiency (work transfer to the elevator (desired) to the electrical work transfer (required) to the motor), , of the system to be 80%, (a) Determine the...
In the previous problem, show that Plt, T) = expl (T-t) [f(0, t) _ r(t)-Tt(T-t)))
Do you think that the put-call parity holds in the presence of default risk? Why?
A gas refrigeration system using air as the working fluid has a pressure ratio of 4. Air enters the compressor at 27oC. The high-pressure air is cooled to 27oC by rejecting heat to the surroundings....
What does it mean to say that something moving in a curved path has a tangential velocity?
How will the impulse differ if Cassys hand bounces back when striking the bricks?
Distinguish between an elastic collision and an inelastic collision. For which type of collision is momentum conserved?
Why is a punch more forceful with a bare fist than with a boxing glove?
What is needed to accelerate a system?
Randomly selecting one of the 365 days of the year and getting a day in September Theoretical Probabilities. For Exercises, use the theoretical method to determine the probability of the given...
Assume a simple Keynesian depression economy with a multiplier of 4 and an initial equilibrium income of $3,000. Saving and investment equal $400, and assume full employment income is $4,000. a. What...
Show the steps in the mechanism for the reaction of trans-2-chlorocyclohexanol with sodium hydroxide shown in the previous equation. Explain why cis-2-chlorocyclohexanol does not give a similar...
Show the product, including stereo chemistry, for this reaction: Br . NaOH -- . . CH3
Because of the acidic conditions, this reaction proceeds by an SN1 mechanism. Which hydroxy group acts as the leaving group in the reaction? Show all the steps in the mechanism for this reaction: ,,
Answer the following questions with respect to the following Strategy pattern diagram as illustrated below 3. The relationship between StudentToSchool class and Strategy and actors with strategy?...
a) Design a simple relational database that captures the information required to maintain records of orders. Take into account that your design should allow a customer to order as many items as...
Write a procedure named AVG in assembly language which calculates and returns the average of three memory operands. Also show how this procedure will be called from main. Pass arguments (variable...

Let Ï(t) be a deterministic function such that Consider the process Use Ito's rule to show that

Question:

"IT σ2(u)du is finite. x-S, σ(u)dW(u). 10 σ2 (u)du.

Step by Step Answer:

Using the fact that for we have dX dW Itos rule on Give dZ ZdW Thus this ...View the full answer

Organic Chemistry

Students also viewed these Organic Chemistry questions