Prove Proposition 4.1.7.8 as a consequence of the balayage formula applied to (Y_{t}=M_{t}-B_{t}). Proposition 4.1.7.8: Let (varphi)

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Prove Proposition 4.1.7.8 as a consequence of the balayage formula applied to $Y_{t}=M_{t}-B_{t}$.

Proposition 4.1.7.8:

Let $\varphi$ be a $C^{1}$ function. Then, the process

\[\varphi\left(M_{t}\right)-\left(M_{t}-B_{t}\right) \varphi^{\prime}\left(M_{t}\right)\]

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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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Prove Proposition 4.1.7.8 as a consequence of the balayage formula applied to (Y_{t}=M_{t}-B_{t}). Proposition 4.1.7.8: Let (varphi)

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To prove Proposition 4178 as a consequence of the balayage formula applied to YtMtBt we will first o...View the full answer

Mathematical Methods For Financial Markets

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