Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{d}). Find all (c in mathbb{R}) such that (mathbb{E} e^{cleft|B_{t}ight|}) and

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Let $\left(B_{t}ight)_{t \geqslant 0}$ be a $\mathrm{BM}^{d}$. Find all $c \in \mathbb{R}$ such that $\mathbb{E} e^{c\left|B_{t}ight|}$ and $\mathbb{E} e^{c\left|B_{t}ight|^{2}}$ are finite.

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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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Question Posted: Mar 17, 2024 01:00 AM

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Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{d}). Find all (c in mathbb{R}) such that (mathbb{E} e^{cleft|B_{t}ight|}) and

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Heres how to find all c in mathbbR such that the expectations beginalign mathbbE ecleftBtight text a...View the full answer

Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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