Stochastic Processes SolutionbookII 随机过程习题解答.pdf

Stochastic Processes II (Solutionbook) Master of Science in Quantitative Finance Core Course Summer Term 2006 Prof. Dr. Wolfgang M. Schmidt (schmidt@hfb.de) Dipl.-Inform. Natalie Packham (packham@hfb.de) HfB — Business School of Finance Management, Frankfurt April 13, 2006 1 Brownian calculus II Exercise 1.1. We first show that for independent Brownian motions W i and Wj , we i j have [W , W ] = 0: Let Π = {t = 0, t , . . . , t = t}, t t . . . t , be a partition t 0 1 n 0 1 n of [0, t] and let Π = max{(tk − tk−1), 1 ≤ k ≤ n}. We have n i j i − W i Wj − Wj . [W , W ]t = lim Wtk tk−1 tk tk−1 Π →0 k=1 Let’s calculate the expectation and variance of n W i − W i Wj − Wj . k=1 tk tk−1 tk tk−1 Since the Brownian motions W i and Wj are independent, we obtain: n E W i − W i Wj − Wj tk tk−1 tk tk−1 k=1 n = E W i − W i E Wj − Wj = 0 tk tk−1 tk tk−1 k=1 For the variance, we obtain, using the fact that Wj and W i are independent and that their increments are independent: n Var W i − W i Wj − Wj tk tk−1 tk tk−1 k=1  n 2 i i j j  