Question: For a multidimensional market model, we have 3 stocks, each with a stochastic differential dS i (t) = i (t)S i (t)dt + S i

For a multidimensional market model, we have 3 stocks, each with

For a multidimensional market model, we have 3 stocks, each with a

stochastic differential

dS i (t) = i (t)S i (t)dt + S i (t)

3

X

j=1

ij dW j (t)

where i (t) is an adapted process and ij is constant for all i,j. Does

this market have a risk-neutral probability measure, and if so what is

it (how do we get it)?

astochastic differentialdS i (t) = i (t)S i (t)dt + S i

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