Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{d}). Find all (c in mathbb{R}) such that (mathbb{E} e^{cleft|B_{t}ight|}) and
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Let \(\left(B_{t}ight)_{t \geqslant 0}\) be a \(\mathrm{BM}^{d}\). Find all \(c \in \mathbb{R}\) such that \(\mathbb{E} e^{c\left|B_{t}ight|}\) and \(\mathbb{E} e^{c\left|B_{t}ight|^{2}}\) are finite.
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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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