O'Reilly logo

Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I by Eric Chin, Sverrir Olafsson, Dian Nel

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

4.2 Problems and Solutions

4.2.1 Martingale Representation Theorem

  1. 1. Let c04-math-239 be a c04-math-240-standard Wiener process and let c04-math-241 be a real-valued random variable on the probability space c04-math-242 such that c04-math-243. For the process
    equation

    show that c04-math-244 and that c04-math-245 is a c04-math-246-martingale with respect to the filtration c04-math-247, c04-math-248 generated by c04-math-249.

    Solution ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required