Exercise 13.11 In the SDE (13.36), suppose that where a, , , and are constants with
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Exercise 13.11 In the SDE (13.36), suppose that
where
a, κ, σ, and α are constants with 0.5 ≤ α 0 such that
then there exists a solution to the SDE. Take β = α here.
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Related Book For 
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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