Exercise 12.10 Applying the change of measure formula (12.30) to (12.36), derive the transition density function (12.37)
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Exercise 12.10 Applying the change of measure formula (12.30) to (12.36), derive the transition density function (12.37) for a Brownian motion with drift
μ and diffusion coefficient σ = 1.
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ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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