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homewk11 - 1(answer in back 2 Hint Apply the result in the...

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IEOR 4106: Introduction to Operations Research: Stochastic Models Spring 2011, Professor Whitt Homework Assignment 11: Tuesday, April 19. THE LAST ONE! Due on Tuesday, April 26. The last class is Thursday, 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.
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Unformatted text preview: 1. (answer in back) 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 defined 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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