(The Martingale problem on (L) ) Let (f, g) ) be a pair of functions in (L ) Find a process ( left X t ight t ) defined on (E ) such that M t f left(X t ight) f left(X 0 ight) int 0 t g left(X 0 ight) d s is a martingale ...

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(The Martingale problem on (L)) Let (f, g)) be a pair of functions in (L). Find a...

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(The Martingale problem on $L)$ Let $f, g)$ be a pair of functions in $L$. Find a process $\left\{X_{t}\right\}_{t}$ defined on $E$ such that

\[M_{t}=f\left(X_{t}\right)-f\left(X_{0}\right)-\int_{0}^{t} g\left(X_{0}\right) d s\]

is a martingale.

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Quantitative Finance

ISBN: 9781118629956

1st Edition

Authors: Maria Cristina Mariani, Ionut Florescu

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Question Posted: Apr 20, 2024 05:57 AM

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(The Martingale problem on (L)) Let (f, g)) be a pair of functions in (L). Find a...

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