Let Iuml (t) be a deterministic function such that Consider the process Use Ito 's rule to show that this process satisfies dZ Iuml ZdW Deduce that this process is a martingale process Use this fact to find the moment generating Function f(y) E eyX of the random variable Finally, argue that X is no...

Using the fact that for we have dX dW Itos rule on Give dZ ZdW Thus this ...

Let Ï(t) be a deterministic function such that Consider the process Use Ito's rule to show that

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Let Ïƒ(t) be a deterministic function such that

Consider the process

Use Ito's rule to show that this process satisfies
dZ = ÏƒZdW.
Deduce that this process is a martingale process. Use this fact to find the moment-generating
Function
f(y) = E[eyX]
of the random variable

Finally, argue that X is normally distributed, with mean zero and variance

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Organic Chemistry

ISBN: 9788120307209

6th Edition

Authors: Robert Thornton Morrison, Robert Neilson Boyd

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Question Posted: Jun 29, 2016 12:58 AM

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Let Ï(t) be a deterministic function such that Consider the process Use Ito's rule to show that

Question:

"IT σ2(u)du is finite. x-S, σ(u)dW(u). 10 σ2 (u)du.

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Using the fact that for we have dX dW Itos rule on Give dZ ZdW Thus this ...View the full answer

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