Exercise 6.10 In Proposition 6.1(2), let U = Et[XZ]. Then, from (6.17), we have Using this and

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Exercise 6.10 In Proposition 6.1(2), let U = Et[XZ]. Then, from (6.17), we have

Using this and the fact that Y Z is also Ft-measurable, prove the property (2).
Also, prove the other properties in Propositions 6.1 and 6.3 by using similar arguments.

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Stochastic Processes With Applications To Finance

ISBN: 9781439884829

2nd Edition

Authors: Masaaki Kijima

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Question Posted: Sep 19, 2024 07:03 PM

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Exercise 6.10 In Proposition 6.1(2), let U = Et[XZ]. Then, from (6.17), we have Using this and

Question:

E[YU]=E[YXZ] for any Ft-measurable Y.

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Stochastic Processes With Applications To Finance

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