errata_girsanov

errata_girsanov - Girsanov notes. The notation I B ( ) is...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Economics 141a – Fall, 2010 Errata for Girsanov Notes page 0, line12 1 - q = 1 - q 1 - p should read 1 - q = 1 - q 1 - p (1 - p ) page 3, line 11 Q [ Y x ] = { ω | Y ( ω ) x } Z ( ω ) dP ( ω ) should read Q [ Y x ] = { ω | Y ( ω ) x } dP ( ω ) page 5 line 4 d ( S ( t ) should read dS ( t ) page 5 line 12 S (0) exp { ( μ - r - σ 2 2 ) dt + σdW ( t ) } should read S (0) exp { ( μ - r - σ 2 2 ) t + σW ( t ) } Notation. The notation for the indicator function of an event was used but not defined in the
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Girsanov notes. The notation I B ( ) is the indicator function of the event B at the sample point , viz. a function which assigns to each sample point the value 1 if is in B , and the value 0 if is not in B . 1...
View Full Document

This note was uploaded on 04/09/2012 for the course ECON 142 taught by Professor Mess during the Fall '11 term at UCLA.

Ask a homework question - tutors are online