Exercise 25.1.7 Prove that E[ r (k+1)r (k) ] t = [r (k) ], if

Exercise 25.1.7 Prove that E[ r (k+1)−r (k) ]

t

=





β[μ−r (k) ], if 0 ≤ p(r (k)) ≤ 1

σ/

√

t, if p(r (k)) < 0

−σ/

√

t, if 1 < p(r (k))

and Var[ r (k+1)−r (k) ]→σ2t.