Factor the square root of the stochastic exponential as
(1)
The stochastic exponential in this expression is a positive local martingale and hence a supermartingale, so its expectation is at most one. If almost surely, then
(2)
Solved by gpt-5.6-sol high.

Ancestors (12)

  1. i
  2. a
  3. 4
  4. Paper 202
  5. iii
  6. 2026
  7. Past exam of the mathematics course of the University of Cambridge
  8. Mathematics course of the University of Cambridge
  9. Course of the University of Cambridge
  10. University of Cambridge
  11. List of universities
  12. Home

View article source

Discussion (0)

New discussion

There are no discussions about this article yet.

Articles by others on the same topic (0)

There are currently no matching articles.
See all articles in the same topic Create my own version