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MATH47101
MATH47101
PAGE 1
PAGE 1 of 4
P.T.O.
Three hours
UNIVERSITY OF MANCHESTER
STOCHASTIC CALCULUS
15 January 2014
9:45 – 12:45
Answer FOUR of the SIX questions. If more than FOUR questions are attempted, then credit will be given for the best FOUR answers.
Electronic calculators are permitted, provided they cannot store text.
Answer FOUR of the six questions
tLet B = (Bt)t≥0 be a standard Brownian motion started at zero, and let (FB )t≥0 denote the
t
natural filtration generated by B .
. Σ?(1.1) State the definition of B .
. Σ?
(1.2) Determine whether t(B1+1/t B1) t0 defines a standard Brownian
motion. Explain your answer. [5 marks]
(1.3) Show that τ = inf { t 0 : Bt = log(1/t) } is a stopping time with
trespect to (FB )t≥0 . [5 marks]
t
ttt≥0(1.4) Show that .B4 ?(6t?1)B2 +3t2 ?tΣ is a martingale with
t
t
t≥0
t
t
to (FB )t≥0 . [5 marks]
(1.5) Set Mt = B4 ?(6t?1)B2 +3t2 ?t for t ≥ 0 . Compute E(Mσ) and
2 t t √
E(σ
) when σ = inf { t ≥ 0 : |Bt| =
2 } . [5 marks]
tt≥0t0sLet X = (X ) be a continuous semimartingale with values in R , let I = t +∫ t X ds
t
t≥0
t
0
s
t ≥ 0 , and let F : R+×R2 → R be a C1,2,1 function.
(2.1) Apply It?o’s formula to F (t, Xt, It) for t ≥ 0 . Determine a continuous local martingale (Mt)t≥0 starting at 0 and a continuous bounded
variation process (At)t≥0 such that F (t, Xt, It) = Mt+At for t ≥ 0 . [5 marks]
Let B = (Bt)t≥0 be a standard Brownian motion started at zero, let X = (Xt)t≥0 be a non- negative stochastic process solving
dXt = 3 dt + 2√Xt dBt (X0 = 0) and let F (t, x) = e?tx for t ≥ 0 and x ∈ R+ .
(2.2) Explain why It?o’s formula can be applied to F (t, Xt) for t ≥ 0 . [3 marks]
(2.3) Apply It?o’s formula to F (t, Xt) for t ≥ 0 . Determine a continuous local martingale (Mt)t≥0 starting at 0 and a continuous bounded
variation process (At)t≥0 such that F (t, Xt) = Mt+At for t ≥ 0 . [5 marks]
(2.4) Show that (Mt)t≥0 in (2.3) is a martingale and compute (M, M)t
for t ≥ 0 . [6 marks]
0t
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