Exercise 16.8 For the default time epoch defined in (16.17), let Show that the process {M(t)}
Question:
Exercise 16.8 For the default time epoch τ defined in (16.17), let
Show that the process {M(t)} is a martingale with respect to the filtration {Ft}. Hint: Since ∫ t 0 1{K(u−)=0}dK(u) = 1{τ≤t}, we have
Apply (16.18) to the case {τ > t}. The case {τ ≤ t} is obvious.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
Question Posted: