Exercise 14.2 Consider the two SDEs and where dz1dz2 = (t)dt. Mimicking the arguments given in Example

Exercise 14.2 Consider the two SDEs

and

where dz1dz2 = ρ(t)dt. Mimicking the arguments given in Example 14.2, show that the process {D(t)} defined by D(t) = X(t)/Y (t) has the mean rate of return

Transcribed Image Text:

dX = x(t)dt+ox(t)d21, t0, X