Exercise 13.15 In the context of Exercise 13.3, let g(x) = 1 so that w(x) is a
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Exercise 13.15 In the context of Exercise 13.3, let g(x) = 1 so that w(x) is a solution to the equation Lw = −1 with w
(a) = w
(b) = 0. Using Dynkin’s formula, show that E[T] = w(x) < ∞.
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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