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