7. Set Y₁ = H, dw, (a) Calculate Y, for H₁ = U₁I(0,0.5] (s)+U₂I(0.5,2] (s), U₁ ~= U(0, 0.5), U₂ ~ U (0, 1)independent (b
Posted: Tue May 31, 2022 11:27 pm
- 7 Set Y H Dw A Calculate Y For H U I 0 0 5 S U I 0 5 2 S U U 0 0 5 U U 0 1 Independent B 1 (48.37 KiB) Viewed 31 times
7. Set Y₁ = H, dw, (a) Calculate Y, for H₁ = U₁I(0,0.5] (s)+U₂I(0.5,2] (s), U₁ ~= U(0, 0.5), U₂ ~ U (0, 1)independent (b) Is Y, a martingale? (c) Calculate the quadratic variation of Y₁. (d) Calculate E(Y²). 8. (a) Calculate exp(2W₂). (b) Calculate Y₁ = 2t² + W₁.