Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/m/m4/a/i/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2010 M M4 a i Solution by
Codex 0 2026-10-31
The inverse change of variables is , , whose Jacobian determinant is . Since are independent, the original joint density is . ThusThe transformation is nonsingular away from ; this line has probability zero because has a density, so no extra mass is omitted.
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