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IEOR 4106: Introduction to Operations Research: Stochastic Models Spring 2009, Professor Whitt Homework Assignment 11: Tuesday, April 21. THE LAST ONE! Due on Tuesday, April 28.) Chapter 10: Brownian Motion In Ross, read Sections 10.1-10.3 and 10.6. (The total required reading is approximately 11 pages.) Do the following exercises at the end of Chapter 10. 1. (answer in back)
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Unformatted text preview: 2. Hint: Apply the result in the middle of page 628. 3. (answer in back) 5. (answer in back) 6. 7. (answer in back) 16. Hint: A martingale is dened just before Exercise 10.16. I will hand out notes that discuss martingales in more detail. 17. 20. (answer in back) Hint: relevant information is stated just before Exercise 10.20. 21....
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This note was uploaded on 01/26/2011 for the course IEOR 4106 taught by Professor Whitt during the Spring '08 term at Columbia.

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