8. Consider the random walk which in each t time unit either goes up or down the...
Question:
8. Consider the random walk which in each t time unit either goes up or down the amount √t with respective probabilities p and 1 − p where p = 1 2 (1 + μ
√t).
(a) Argue that as t → 0 the resulting limiting process is a Brownian motion process with drift rate μ.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: