Show that any process X t such that E X( t,t X t 0 for any t and 0 is a martingale ...

Show that any process X t such that E{X( t,t+] |X t } = 0 for any

Question:

Show that any process X_t such that E{X(_t,t+δ] |X^t} = 0 for any t and δ ≥ 0 is a martingale.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Probability And Stochastic Modeling

ISBN: 9781439872062

1st Edition

Authors: Vladimir I. Rotar

See More Books

Question Posted: Jan 11, 2024 09:01 AM

See More Questions

Notwithstanding the discussion in Section 12.1.4, since we forecast based on Libor, the martingale equation only holds for risky discounting at the credit-worthiness of Libor counterparts. As such,...
a. Example 13-1: Batch Reactor with an Exothermic Reaction Wolfram 1. Adiabatic Case: Use Wolfram to see whether you can find a trajectory that is ready to ignite and whose trajectory looks like a...
When mixing two types of atoms, say A and B, will atoms always diffuse from regions of higher concentrations to regions of lower concentrations? Explain either in words or with a graph.
Yang Company purchased 2,000 widgets and has 400 widgets in its ending inventory at a cost of $90 each and a current replacement cost of $80 each. The net realizable value of each unit in the ending...
How might a company obtain a price index in order to apply dollar-value LIFO?
Consider the admissions requirements for a degree program, major, or concentration at your school. Look up the requirements in the school catalog and rewrite them in structured English. Develop an...
Using the Internet, locate a lender who finances hospitality operations. Determine the current interest rate for a $1 million unsecured loan. AppendixLO1
EFN the most recent financial statements for Last in Line, Inc., are shown here: Assets and costs are proportional to sales. Debt and equity are not. A dividend of $1,560 was paid, and the company...
Consider the following cases: \ table [ [ Case , Unit Price, \ table [ [ Unit Variable ] , [ Cost ] ] , Fixed Costs,Depreciation ] , [ 1 , $ 8 , 0 0 0 , $ 5 , 5 2 0 , 1 3 , 0 0 0 , 0 0 0 $ , $ 4 , 8...
Let Y t =Cte 4w t . What should the constant C t be for Y t to be a martingale?
Let N t be a non-homogeneous Poisson process. Is N t a martingale? Is the process X t = N t E{N t } a martingale (with respect tow t )?
Don't all countries want to have a "strong" currency?
GATE 2024-EE Question
GATE 2024-EE Question
GATE 2024-EE Question
What is Netduino?
What is Appolonius theorem?
Refer to Exercise 13.32. The hypothesis tested in Chapter 11-that the average prices for the four types of tuna are the same-is equivalent to saying that E(y) will not change as x1 and x2 change....
A firm has the following balance sheet: Assets Cash Accounts receivable Inventory Plant and equipment $ 15,000 150,000 92,000 170,000 $427,000 Liabilities and Equity Accounts payable Long-term debt...
What steps did ConAgra take to make sure the My Recipe was successful?
What were the benefits of the new system? How did it change operational activities and decision making at ConAgra? How successful was this system solution ?
Why is paperless NHS a risky project? Identify the key risk factors.
FINANCIAL STATEMENT ANALYSIS INSTRUCTIONS 1. PREPARE RATIO ANALYSIS REPORT ( word file) Format 1. Introduction 2. Importance of Financial Statements 3. Importance of Financial statement analysis and...
Let us assume that Europe is in recession, China's economy is slowing down, and the US economy is growing at 1-2%. Use these assumptions to invest in 4 ETFs (electronically traded funds). The 4 ETFs...
A section 83(b) election creates ordinary income at the time of the grant. Ture or False

Show that any process X t such that E{X( t,t+] |X t } = 0 for any

Question:

Step by Step Answer:

Indeed E...View the full answer

Probability And Stochastic Modeling

Students also viewed these Business questions