Let (t 0 ) be fixed and ( theta t inf left s leq t mid M t B s ight ) where (M t sup s leq t B s ) Prove that left(M t , theta t ight) stackrel text law left( left B t ight , g t ight) stackrel text law left(L t , g t ight) text ...

To prove that Mt thetat stackreltextlaw Bt gt stackreltextlaw Lt gt we need to show that the random ...

Let (t>0) be fixed and (theta_{t}=inf left{s leq t mid M_{t}=B_{s} ight}) where (M_{t}=sup _{s leq t}

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Let $t>0$ be fixed and $\theta_{t}=\inf \left\{s \leq t \mid M_{t}=B_{s}\right\}$ where $M_{t}=\sup _{s \leq t} B_{s}$. Prove that

\[\left(M_{t}, \theta_{t}\right) \stackrel{\text { law }}{=}\left(\left|B_{t}\right|, g_{t}\right) \stackrel{\text { law }}{=}\left(L_{t}, g_{t}\right) \text {. }\]

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Mathematical Methods For Financial Markets

ISBN: 9781447125242

1st Edition

Authors: Monique Jeanblanc, Marc Yor, Marc Chesney

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Question Posted: Apr 02, 2024 06:00 AM

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Let (t>0) be fixed and (theta_{t}=inf left{s leq t mid M_{t}=B_{s} ight}) where (M_{t}=sup _{s leq t}

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Mathematical Methods For Financial Markets

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