ex_3 - Exercise 9.2 on page 398 in Shreves book. Exercise...

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ORIE 569 Problem set 3 Feb 6, 2008 Homework must be turned in by Thursday, March 6 at 10 a.m. Solutions turned in at a later time will not be graded. Place homework in the 569 homework box on the bridge between Upson and Rhodes. Exercise 1. Exercise 9.1 on page 398 in Shreve’s book. Exercise 2:
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Unformatted text preview: Exercise 9.2 on page 398 in Shreves book. Exercise 3: Exercise 9.3 on page 400 in Shreves book. Note that there is a typo in part (iii): the Brownian motions f W i ( t ) should be f W ( N ) i ( t ) for i = 1 , 2. Exercise 4: Exercise 9.5 on page 401 in Shreves book. 1...
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This note was uploaded on 08/05/2008 for the course ORIE 569 taught by Professor Alexanderschied during the Spring '08 term at Cornell University (Engineering School).

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