Exercise 14.1.3 Verify that W(t)2/2 is not a martingale.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 12:00 PM

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Exercise 14.1.3 Verify that W(t)2/2 is not a martingale.
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Exercise 14.1.2 Verify that using the following simple stochastic process, Y(s) W(tk) for s [ tk1, tk), k= 1, 2, . . . , n, to approximate W results in t 0 WdW= (W(t)2 +t)/2.
Exercise 14.1.4 Prove that E[ t 0 WdW] = 0.
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Exercise 14.1.3 Verify that W(t)2/2 is not a martingale.

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Financial Engineering And Computation Principles Mathematics Algorithms

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