Let ( , F , F , P ) ( , F , F ,
Question:
Let be a filtered probability space and denote by the Radon-Nikodým density of with respect to . Then, if is a subfiltration of , prove that , where
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
Question Posted: