3.7. Let to = 0 < t, < t2 < ... be time points, and define X,,...

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3.7. Let to = 0 < t, < t2 < ... be time points, and define X,, = A(t,,), where A(t) is absorbed Brownian motion starting from A(0) = x. Show that is a nonnegative martingale. Compare the maximal inequality

(5.7) in II with the result in Problem 3.6.

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An Introduction To Stochastic Modeling

ISBN: 9780126848878

3rd Edition

Authors: Samuel Karlin, Howard M. Taylor

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3.7. Let to = 0 < t, < t2 < ... be time points, and define X,,...

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An Introduction To Stochastic Modeling

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