Let (H) and (Z) be continuous semi-martingales. Check that the solution of the equation (X_{t}=H_{t}+int_{0}^{t} X_{s} d
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Let \(H\) and \(Z\) be continuous semi-martingales. Check that the solution of the equation \(X_{t}=H_{t}+\int_{0}^{t} X_{s} d Z_{s}\), is
\[X_{t}=\mathcal{E}(Z)_{t}\left(H_{0}+\int_{0}^{t} \frac{1}{\mathcal{E}(Z)_{s}}\left(d H_{s}-d\langle H, Zangle_{s}\right)\right)\]
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Related Book For 
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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