Continuous Time - HW Shreve Chapter 2

Continuous Time - HW Shreve Chapter 2 - X, X Y X, X Y X, y...

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  1 Temple University Continuous Time Finance Basic Conditional Expectation
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  2 Conditional Expectation See Section A.1 of the review on conditional expectations:
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  3 Conditional Expectation Equivalently: ) ( ) , ( ] | [ ) ( ) , ( ] | [ , , x f y x f y x X Y E y f y x f x y Y X E X Y X y Y Y X x = = = =
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  4 InSight: Shreve 2.6 ii ] 1 - X | E[Y calculate y, similar wa In ... given ies probabilit using complete b} P{a P{b} 1) ( b} P{a P{a} (1) (1) f 1) (1, f 1) ( (1) f (1,1) f (1) (1) f y) (1, f y 1] X | E[Y X Y
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Unformatted text preview: X, X Y X, X Y X, y = ∪-+ ∪ =--+ = ⋅ = = ∑ 5 InSight: Shreve 2.6 ii x} P{X x] X | E[Y E[Y] : Check d} {c, ω ?-1] X | E[Y b} {a, ω-1] X | E[Y X](ω] | E[Y x 3 1 = = = ∈ = = ∈ = = = ∑ The problem asks that you record your conclusions in the following form:...
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This note was uploaded on 11/23/2009 for the course FIN 5190 taught by Professor Soss during the Fall '09 term at Temple.

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Continuous Time - HW Shreve Chapter 2 - X, X Y X, X Y X, y...

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