Question: 10.4. Let Xt be an Ito diffusion on R n and g: 9 R+ a continuous reward function. Define go (x) = sup{Ex [g(Xr)];

10.4. Let Xt be an Ito diffusion on R n and g:

10.4. Let Xt be an Ito diffusion on R n and g: 9 R+ a continuous reward function. Define go (x) = sup{Ex [g(Xr)]; T stopping time, EM [r] < . Show that go = (Hint: If is a stopping time put 7k = A k for k 1, 2, . consider Elg(XT) lim g(Xn)]) . and

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