Prove that, for (delta>2), the default of martingality of (R^{2-delta}) (where (R) is a Bessel process of
Question:
Prove that, for \(\delta>2\), the default of martingality of \(R^{2-\delta}\) (where \(R\) is a Bessel process of dimension \(\delta\) starting from \(x\) ) is given by
\[\mathbb{E}\left(R_{0}^{2-\delta}-R_{t}^{2-\delta}\right)=x^{2-\delta} \mathbb{P}^{4-\delta}\left(T_{0} \leq t\right)
\]
Prove that
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
Question Posted: