Let ( , F , F , P ) ( , F , F ,

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Let (Ω,F,F,P) be a filtered probability space and denote by (Lt,t0) the Radon-Nikodým density of Q with respect to P. Then, if F~ is a subfiltration of F, prove that Q|F~t=L~tP|F~t, where

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Mathematical Methods For Financial Markets

ISBN: 9781447125242

1st Edition

Authors: Monique Jeanblanc, Marc Yor, Marc Chesney

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