Let (B_{t}=left(b_{t}, beta_{t}ight), t geqslant 0) be a (mathrm{BM}^{2}) and set (r_{t}:=left|B_{t}ight|=sqrt{b_{t}^{2}+beta_{t}^{2}}). a) Show that the stochastic
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Let \(B_{t}=\left(b_{t}, \beta_{t}ight), t \geqslant 0\) be a \(\mathrm{BM}^{2}\) and set \(r_{t}:=\left|B_{t}ight|=\sqrt{b_{t}^{2}+\beta_{t}^{2}}\).
a) Show that the stochastic integrals \(\int_{0}^{t} b_{s} / r_{s} d b_{s}\) and \(\int_{0}^{t} \beta_{s} / r_{s} d \beta_{s}\) exist.
b) Show that \(W_{t}:=\int_{0}^{t} b_{s} / r_{s} d b_{s}+\int_{0}^{t} \beta_{s} / r_{s} d \beta_{s}\) is a \(\mathrm{BM}^{1}\).
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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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