B
bobby sanger
Member
Acted notes – page 39 – Q 10.1 (ii) (e)
When applying ito’s lemma, we note that dBt = 1*dBt + 0*dt
Equivalently, mu(t)=0 and sigma(t)=1
Why/how is this so?
Is this due to Bt is normally distributed with mean=0 and sigma=1?
thanks
bobby
When applying ito’s lemma, we note that dBt = 1*dBt + 0*dt
Equivalently, mu(t)=0 and sigma(t)=1
Why/how is this so?
Is this due to Bt is normally distributed with mean=0 and sigma=1?
thanks
bobby