Consider a standard Brownian motion B = {Bt,t > 0} and the filtration {Fi} generated by...
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Consider a standard Brownian motion B = {Bt,t > 0} and the filtration {Fi} generated by %3D the Brownian motion. (a) Define the process Y by Y = exp -as dB, +k e where a, B and k are real parameters. Deduce how a, B andk should be related for the process Y to be a martingale. Consider a standard Brownian motion B = {Bt,t > 0} and the filtration {Fi} generated by %3D the Brownian motion. (a) Define the process Y by Y = exp -as dB, +k e where a, B and k are real parameters. Deduce how a, B andk should be related for the process Y to be a martingale.
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Discovering Advanced Algebra An Investigative Approach
ISBN: 978-1559539845
1st edition
Authors: Jerald Murdock, Ellen Kamischke, Eric Kamischke
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