Timeline for Given $\mathbb Q$ and $X_t$ is $\mathbb Q$-Brownian, find $\frac{d\mathbb Q}{d\mathbb P}$ / Uniqueness of Brownian or Radon-Nikodym derivative
Current License: CC BY-SA 3.0
12 events
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| Jan 31, 2021 at 8:52 | vote | accept | BCLC | ||
| Jun 17, 2020 at 8:33 | history | edited | CommunityBot |
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| Apr 13, 2017 at 12:46 | history | edited | CommunityBot |
replaced http://quant.stackexchange.com/ with https://quant.stackexchange.com/
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| Jul 16, 2016 at 8:12 | history | edited | BCLC | CC BY-SA 3.0 |
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| Jul 11, 2016 at 13:46 | comment | added | Quantuple | Sure. Don't worry for me. But maybe your question will find an answer on math or mathoverflow SE? Also it would help if you narrow down the questions you want an answer to, or at least better highlight them. | |
| Jul 11, 2016 at 13:39 | comment | added | BCLC | @Quantuple I might set a bounty but at least you got your +10 | |
| Jul 10, 2016 at 16:48 | vote | accept | BCLC | ||
| Jul 11, 2016 at 13:38 | |||||
| Jul 10, 2016 at 16:33 | comment | added | Quantuple | done, but you also raise interesting questions that I do not answer to :) | |
| Jul 10, 2016 at 16:27 | answer | added | Quantuple | timeline score: 7 | |
| Jul 10, 2016 at 15:05 | comment | added | Quantuple | IMHO the problem isn't stated correctly indeed, in the sense that the Radon-Nikodym derivative provided as the "solution" is not the unique way to define a measure $\mathbb{Q}$ equivalent to $\mathbb{P}$ and under which $X_t$ is a martingale (just take $d\mathbb{Q}/d\mathbb{P} =\mathcal{E}(-\int_0^t \cos(s) dW_s + a)$, for any $a \in \mathbb{R}$. I think the exercice should have been written the other way around as you mention: show that with the given Radon-Nikodym derivative, the measure $\mathbb{Q}$ is equivalent to the original measure and such that $X_t$ is a $\mathbb{Q}$-martingale. | |
| Jul 10, 2016 at 14:17 | history | tweeted | twitter.com/StackQuant/status/752144770491973637 | ||
| Jul 10, 2016 at 4:58 | history | asked | BCLC | CC BY-SA 3.0 |