Let (T_{a}^{*}=inf left{t:left|W_{t} ight|=a ight}). Prove that the r.v's (T_{a}^{*}) and (W_{T_{a}^{*}}) are independent and show that
Question:
Let \(T_{a}^{*}=\inf \left\{t:\left|W_{t}\right|=a\right\}\). Prove that the r.v's \(T_{a}^{*}\) and \(W_{T_{a}^{*}}\) are independent and show that \(W_{T_{a}^{*}}\) is symmetric with values \(\pm a\).
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: