Exercise 14 3 8 Let X(t) be the OrnsteinUhlenbeck process in Eq (14 11) Show that the differential for Y(t) X(t) et is dY et dW (This implies that Y(t), hence X(t) as well, is normally distributed ) ...

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Exercise 14.3.8 Let X(t) be the OrnsteinUhlenbeck process in Eq. (14.11). Show that the differential for Y(t)

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Exercise 14.3.8 Let X(t) be the Ornstein–Uhlenbeck process in Eq. (14.11). Show that the differential for Y(t) ≡ X(t) eκt is dY = σeκt dW. (This implies that Y(t), hence X(t) as well, is normally distributed.)

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

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Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 12:00 PM

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Exercise 14.3.8 Let X(t) be the OrnsteinUhlenbeck process in Eq. (14.11). Show that the differential for Y(t) X(t) et is dY = et dW. (This implies that Y(t), hence X(t) as well, is normally...
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Exercise 14.3.8 Let X(t) be the OrnsteinUhlenbeck process in Eq. (14.11). Show that the differential for Y(t)

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Financial Engineering And Computation Principles Mathematics Algorithms

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