Question
Let {X(t), t > 0} be a standard Brownian motion process and Ta denote the first time the process hits a. (a) Show that
Let {X(t), t > 0} be a standard Brownian motion process and Ta denote the first time the process hits a. (a) Show that E[X(t)|X(u),0 < u < s] = X(s) for s
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An Introduction to the Mathematics of Financial Derivatives
Authors: Ali Hirsa, Salih N. Neftci
3rd edition
012384682X, 978-0123846822
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