Stochastic Approach (SRBM)
Seek W, X, Y continuous J-dimnl
processes such that
(i) W = X + R Y
(ii) W has paths in
(iii) for j=1,...,J, , is
non-decreasing, and can
increase only when
(iv) X is a BM s.t. X(0)= ,
{X(t)- t, t } is a martingale
relative to the filtration generated
by W, X, Y.
+
J
R
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