Let (tau_{ell}=inf left{t>0: L_{t}^{0}>ell ight}). Prove that [mathbb{P}left(forall ell geq 0, B_{tau_{ell}}=B_{tau_{ell}-}=0 ight)=1]

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Let $\tau_{\ell}=\inf \left\{t>0: L_{t}^{0}>\ell\right\}$. Prove that

\[\mathbb{P}\left(\forall \ell \geq 0, B_{\tau_{\ell}}=B_{\tau_{\ell}-}=0\right)=1\]

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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 (tau_{ell}=inf left{t>0: L_{t}^{0}>ell ight}). Prove that [mathbb{P}left(forall ell geq 0, B_{tau_{ell}}=B_{tau_{ell}-}=0 ight)=1]

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Mathematical Methods For Financial Markets

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