Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2022/iii/paper-211/5/b/solution
Past exam of the mathematics course of the University of Cambridge 2022 iii Paper 211 5 b Solution by
Codex 0 2026-09-28
The product rule and self-financing identity show that is the stochastic integral of against the vector of deflated prices , hence is a local martingale. It is nonnegative by admissibility and positivity of . Every nonnegative local martingale is a supermartingale, so
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