9. Show that (B-3t B)o is a martingale with respect to Brownian motion. is a martinigale with respeC 1>0 9. Show that (B-3t B)o is a martingale with respect to Brownian motion. is a martiniga...
t2s points). Let B(t) be Brownian motion and let zu) with drift u0. For any B()+ ut be Brownian motion t 0, let T be the first time Z(t) hits a. a) Show that T, is a random time for Z(t) and for B(t). b) Show P(T, 0o)1. c) Use martingale methods to compute E [e-m] for any θ > 0 r>
t2s points). Let B(t) be Brownian motion and let zu) with drift u0. For any B()+ ut be...
In the following questions, let Bt denote a Brownian motion with
B0 = 0.
Let Xn, n-0, 1, 2, denote a biased random walk given by X0 0 and Xn+1 = Xn+Yn+1, where {Yn} are i.i.d. random variables with N(-1,1) distribution. Show that MnX +2nXn +n(n - 1) is a martingale.
Let Xn, n-0, 1, 2, denote a biased random walk given by X0 0 and Xn+1 = Xn+Yn+1, where {Yn} are i.i.d. random variables with N(-1,1) distribution. Show that...
8.13. For Brownian motion with drift coefficient μ, show that for x > 0 0sssh
8.13. For Brownian motion with drift coefficient μ, show that for x > 0 0sssh
In the following questions, let Bt denote a Brownian motion with
B0 = 0.
Let Xt be the solution of SDE dX, = 3X, dt + 2XtdBt and Xo = 1. (a) Write down the SDE for Yt-eatXt, where a is a constant. (b) Find the value of a such that Yt is a martingale, and give the mean and variance of Y, in this case.
Let Xt be the solution of SDE dX, = 3X, dt + 2XtdBt and...
Let W - {Wi,0< t < ) represent a standard Brownian motion Show that the process Z(s)-(zt-W f.0 < t-1) is a standard Brownian motion, where s > 0 is fixed
Help please!
Let Be be Brownian motion and fix to > 0. Prove that By: = Bto+t - Blo; t o is a Brownian motion.
8.33 Let X1, X2, L(X — м), for n 3D 0, 1, 2, .. (a) Show that Zo, Z\, ... is a martingale with respect to be i.d random variables with mean u < o0. Let Z, = ... Хо. X.
8.33 Let X1, X2, L(X — м), for n 3D 0, 1, 2, .. (a) Show that Zo, Z\, ... is a martingale with respect to be i.d random variables with mean u
2. Let Bt denote a Brownian motion. Consider the Black-Scholes model for the price of stock St, 2 So-1 and the savings account is given by β,-ea (a) Solve the equation for the price of the stock St and show that it is not a (b) Explain what is meant by an Equivalent Martingale Measure (EMM) martingale. State the Girsanov theorem. Give the expression for Bt under the EMM Q, hence derive the expression for St under the EMM, and...
Please prove it
If B4 =(B{"),...,B")) is n-dimensional Brownian motion, then the 1-dimensional processes {B }t>0, 1<i<n are independent, 1-dimensional Brownian motions. (2.2.15)
In the following questions, let Bt denote a Brownian motion with Bo = 0. (a) Show that if random variables X and Y are independent then they are 1. uncorrelated, Cov(X, Y) -0. (b) Let X have distribution P(X-1)- P(X 0) P(X- -1)-1/3, and Y-İX . Show that X and Y are uncorrelated, but not independent. (c) Let (X, Y) be a Gaussian vector. Show that if X and Y are uncorrelated then they are independent.