Solution
ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2008/g/1/solution
Past exam of the probability, statistics and options I course of the University of Oxford 2008 G 1 Solution by
Codex 0 2026-10-31
With fixed endpoint values, the Euler-Lagrange equation is . If has no explicit dependence, differentiation givesThus the Beltrami identity is .
For this integrand, and , so . The extremals arewhere the two fixed endpoint values determine . The Beltrami constant is , consistent with this solution.
For a nonzero smooth perturbation vanishing at the endpoints, expand the quadratic functional. The first variation vanishes at an extremal, whileThe linear term depends only on the fixed endpoints. Consequently the extremal is a strict minimum and cannot be a maximum.
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