Let Ft=0(Ws,ss t) be the usual filtration for the Brownian motion (Wt)t> o- Which of the...

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Let Ft=0(Ws,ss t) be the usual filtration for the Brownian motion (Wt)t> o- Which of the following are not non-anticipating processes with respect to Ft I.At =Wt +1-Wt II. X= Wt/2 III. Yt=Ws, where s =max{t,5} Iv. Vt =W5 (the process that takes the value of W5 at every time) I, II, and IV only I, II, and IV only I and III only All of the given processes are non-anticipating. None of the alternatives is correct. Let Ft=0(Ws,ss t) be the usual filtration for the Brownian motion (Wt)t> o- Which of the following are not non-anticipating processes with respect to Ft I.At =Wt +1-Wt II. X= Wt/2 III. Yt=Ws, where s =max{t,5} Iv. Vt =W5 (the process that takes the value of W5 at every time) I, II, and IV only I, II, and IV only I and III only All of the given processes are non-anticipating. None of the alternatives is correct.

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It is useful to remember the following result from the previous chapters Suppose XX and ... View the full answer