Exercise 14.3.9 Justify the claim in Eq. (13.13) by showing that Y(t) et W(e2t) is the

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Exercise 14.3.9 Justify the claim in Eq. (13.13) by showing that Y(t) ≡ e−t W(e2t) is the Ornstein–Uhlenbeck process dY=−Ydt +

√

2dW. (Hint: Consider Y(t +dt)−

Y(t).)

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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 14.3.9 Justify the claim in Eq. (13.13) by showing that Y(t) et W(e2t) is the OrnsteinUhlenbeck process dY=Ydt + 2dW. (Hint: Consider Y(t +dt) Y(t).)
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Exercise 14.3.9 Justify the claim in Eq. (13.13) by showing that Y(t) et W(e2t) is the

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Financial Engineering And Computation Principles Mathematics Algorithms

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