. Let Xt be a diffusion defined by the stochastic differential equation dXt = (1/2) dt + Sqrt(Xt dBt,) X0 = 1. Use Itˆo
Posted: Wed May 11, 2022 3:42 pm
. Let Xt be a diffusion defined by the stochastic
differential equation
dXt = (1/2) dt + Sqrt(Xt
dBt,) X0 = 1.
Use Itˆo’s formula to determine which of the following are
martingales with respect to the Brownian filtration.
• Xt
• t − 2Xt
• ln Xt
differential equation
dXt = (1/2) dt + Sqrt(Xt
dBt,) X0 = 1.
Use Itˆo’s formula to determine which of the following are
martingales with respect to the Brownian filtration.
• Xt
• t − 2Xt
• ln Xt