Consider EQ[A(t n ;t) 2 ] defined in (4.3.68). Show that when t 0we have (Levy, 1992)
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Consider EQ[Ã(t_{n};t)^{2}] defined in (4.3.68). Show that when t 0 we have (Levy, 1992)
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where B₁ = B3 = Eq[Ã (In; t)²] = S² (n + 1)² 1 e(2r+o²)(n+1) At (1 — er4¹)[1 – e(2r+0²)41]'  er 4t  er(n+1) At er At)[1  e(r+o²) 4t]' (1 e(2r+o) (to¹) (B₁ – B2 + B3 − B4), B₂ = B4 = er(n+1)Ate(2r+o²)(n+1) At (1  er At)[1  e(r+o²) 4t] e(2r+o²) 4t e(2r+o²)(n+1) At [1 = e(r+o²) 4t][1 = e(²r+0²)4t]* 
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The expression you provided involves expectations of the square of a process At t Lets denote Y Att ...View the full answer
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