Brownian Motion, Martingales, and Stochastic Calculus Solutions原版完整文件.docx

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2023-08-01 发布于陕西
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Brownian Motion, Martingales, and Stochastic Calculus Solutions原版完整文件.docx

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Brownian Motion, Martingales, and Stochastic Calculus Solutions原版完整文件

PAGE PAGE 10 Solutions to Exercises on Le Gall’s Book: Brownian Motion, Martingales, and Stochastic Calculus Contents HYPERLINK \l _bookmark0 Gaussian Variables and Gaussian Processes HYPERLINK \l _bookmark0 3 HYPERLINK \l _bookmark1 Exercise 1.15 HYPERLINK \l _bookmark1 3 HYPERLINK \l _bookmark2 Exercise 1.16 (Kalman filtering) HYPERLINK \l _bookmark2 6 HYPERLINK \l _bookmark3 Exercise 1.17 HYPERLINK \l _bookmark3 9 HYPERLINK \l _bookmark9 Exercise 1.18 (Levy’s construction of Brownian motion) HYPERLINK \l _bookmark9 10 HYPERLINK \l _bookmark10 Brownian Motion HYPERLINK \l _bookmark10 14 HYPERLINK \l _bookmark11 Exercise 2.25 (Time inversion) HYPERLINK \l _bookmark11 14 HYPERLINK \l _bookmark12 Exercise 2.26 HYPERLINK \l _bookmark12 15 HYPERLINK \l _bookmark13 Exercise 2.27 (Brownian bridge) HYPERLINK \l _bookmark13 15 HYPERLINK \l _bookmark14 Exercise 2.28 (Local maxima of Brownian paths) HYPERLINK \l _bookmark14 18 HYPERLINK \l _bookmark15 Exercise 2.29 (Non-differentiability) HYPERLINK \l _bookmark15 19 HYPERLINK \l _bookmark16 Exercise 2.30 (Zero set of Brownian motion) HYPERLINK \l _bookmark16 21 HYPERLINK \l _bookmark17 Exercise 2.31 (Time reversal) HYPERLINK \l _bookmark17 21 HYPERLINK \l _bookmark18 Exercise 2.32 (Arcsine law) HYPERLINK \l _bookmark18 22 HYPERLINK \l _bookmark19 Exercise 2.33 (Law of the iterated logarithm) HYPERLINK \l _bookmark19 24 HYPERLINK \l _bookmark20 Filtrations and Martingales HYPERLINK \l _bookmark20 28 HYPERLINK \l _bookmark21 Exercise 3.26 HYPERLINK \l _bookmark21 28 HYPERLINK \l _bookmark22 Exercise 3.27 HYPERLINK \l _bookmark22 29 HYPERLINK \l _bookmark23 Exercise 3.28 HYPERLINK \l _bookmark23 31 HYPERLINK \l _bookmark24 Exercise 3.29 HYPERLINK \l _bookmark24 34 HYPERLINK \l _bookmark25 Continuous Semimartingales HYPERLINK \l _bookmark25 37 HYPERLINK \l _bookmark26 Exercise 4.22 HYPERLINK \l _bookmark26 37 HYPERLINK \l _bookmark27 Exercise 4.23 HYPERLINK \l _bookmark27 37 HYPE