Let (w=e^{sigma z-frac{1}{2} t^{2}}), where (z) is a stardard Wiener process. Find the equation governing (w).

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Let $w=e^{\sigma z-\frac{1}{2} t^{2}}$, where $z$ is a stardard Wiener process. Find the equation governing $w$.

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Investment Science

ISBN: 9780199740086

2nd Edition

Authors: David G. Luenberger

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Question Posted: Apr 20, 2024 12:00 PM

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Let (w=e^{sigma z-frac{1}{2} t^{2}}), where (z) is a stardard Wiener process. Find the equation governing (w).

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Investment Science

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