Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{1}). Find a polynomial (pi(t, x)) in (x) and (t), which
Question:
Let \(\left(B_{t}ight)_{t \geqslant 0}\) be a \(\mathrm{BM}^{1}\). Find a polynomial \(\pi(t, x)\) in \(x\) and \(t\), which is of order 4 in the variable \(x\), such that \(\pi\left(t, B_{t}ight)\) is a martingale.
One possibility is to use the exponential Wald identity \(\mathbb{E} \exp \left(\xi B_{\tau}-\frac{1}{2} \xi^{2} \tauight)=1,-1 \leqslant \xi \leqslant 1\), for a suitable stopping time \(\tau\) and a power-series expansion of the left-hand side in \(\xi\).
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
Question Posted: