• We are pleased to announce that the winner of our Feedback Prize Draw for the Winter 2024-25 session and winning £150 of gift vouchers is Zhao Liang Tay. Congratulations to Zhao Liang. If you fancy winning £150 worth of gift vouchers (from a major UK store) for the Summer 2025 exam sitting for just a few minutes of your time throughout the session, please see our website at https://www.acted.co.uk/further-info.html?pat=feedback#feedback-prize for more information on how you can make sure your name is included in the draw at the end of the session.
  • Please be advised that the SP1, SP5 and SP7 X1 deadline is the 14th July and not the 17th June as first stated. Please accept out apologies for any confusion caused.

Ito unique SDE - Ch10

S

Sandor Kelemen

Member
Hi,

Let us have two representations of dM_t

1st: dM_t = a(t,M_t) dt + b(t,M_t) dW_t
2nd: dM_t = c(t,M_t) dt + d(t,M_t) dW_t

It seems that in normal cases a=c, b=d should hold (I think this argument was used in Chapter 10, p 35 in the CMP, to argue as follows: the drift term is always zero for martingales hence the complicated formula at dt must equal to zero). My question is: why formulae a=c and b=d hold?

Note that this principle is used also in the solution of question 10.5.

Thanks in advance for your help.
 
Last edited by a moderator:
You must log in or register to reply here.
Back
Top