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Martingales and Brownian Motion (Part 2)

17 solved problems with brownian motion,description of Wiener processes and a few martingales. I discuss the problem of coupling of supermartingales, stopping times, and one or two submartingales. More to come

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theodor_munteanu
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181 views20 pages

Martingales and Brownian Motion (Part 2)

17 solved problems with brownian motion,description of Wiener processes and a few martingales. I discuss the problem of coupling of supermartingales, stopping times, and one or two submartingales. More to come

Uploaded by

theodor_munteanu
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Wo = 21 g 2 (E984 _ U We Wnebee” s ec Ju curceye YUN, 5 LL) \ vane 4) a (0, t- _s). | seo 4% ie in ghee NO, seh) allel bemce Wr habuafien tHe accend posite : let Ochich < ak pv Con.42,-- way) 2 g wed . oa : waa Wee 8 (= Wei) = aoc ‘ Hoaindy = S ( 5 ta bajaj? u(*s to) fe Let jot + las ~ ay rytants) Pa Pa - Ww We wh, toe | => (Wey, ane aie) | prabbivordok 00% rn: | Now, oe kame EL Wy « Wee - we )) =) B, Ba =0 = Lae eles £1” dyke EL A AL fo 4 e(- 1 so ioyon ef (Wy We 1 yorqa) = WG BL Ry) B ( ny Elba F #18 FG] + kk reibee B) ti =ti- ~ky yy Hy oo. Se , the {Oresruenityy owe tu dopom Sout We ouby ured te shew 7 0) ne We =0@s) (Jr the coin of Wy EI For Hck, Rak EnyO arrd An © Let coe Nu be He es a Sey Ny 2 bbs ee “ Su a +i (m Bn ). sn w/w og. _ B),) 28 é a} (Be oa Be- ”) oat woe Ny 3S stn la anes ares I “ [THe te fem kK (0,9) . oo ee a @ mas oe = vhe, wn i Sy _& vs) _oo ®): (x Quon t 5 bh Ny 14 < —>+* wpe ale now ane oo) go Sa 0 nose stg tahoe aa Led S7Z0- tog oe \* 8 na sie ON WG eee eel >8}s s 2858 ME 1) a we ; ae “Naw, we wt the flowing i CS Sp pre ae : ok Sak? "ue? a gave pe CY, bs Te) “p(3}? 81) re Schou Henin tl dent, re , Ny <0 ~ Sh ee EUR A 7 ( (es | y (k\= mange os! 4i¢s° plese yeh? ry = wagiz(t (5) ) a Q (2) let bbe oe he 0 Braman ache cad Of pcan ‘a ook abs* bby = fat S , f ie gek, 854% (om) Bs ty Ray) Urcactns’ Aianilded- - fat abe ) The crea of uo $s yb aoe (fan, (aS AL >) Ax Be bE, art 5 = Coabjig+ bE- 6) oa? - Beta dome , bE Batt Ba HR cgadagerdoo ot awed Jefe smal 4M \Rs om ot : cy ge gen Pens But ebay 4 s]= € (bbe bbs) ot 0 amd Elabu ae AY Is « 48) J FS 8 a (bbs <8, %! a + wi tee (Oe BJ Sls B20 ; © -E{ labs oth Rp (4 av- 4 By) } =O Ww endar le | I b= L Bu fe be fruslapew «t | a Ry +bb Be aud | 5 “b= over laste (ew Se, 4 5 +e te a A is asst =0 ° | ) leLBi}poo bee Boe uation Let Lhe ty an eo a pose ae oo ME b2° : i f : Slacu- we Ly kom Oo gel weak Fe - {be iS et}: | SOU Lak seh Stor Boe Be amd Bu or Indagare» fa it a rhs and pode E{te\} = 4 ewe le —4 cS Bot 85) ig i =o 1 =4 E(B, -* * 10, S854 iRJ-tt L — oS (E(O,*9) J) sas E16, Bs I+ +E (81K) a w\e zls- Sr @ al Y (I, “7 fan \~ he a face Denn we Q \ - om (P ¢ ) ' y — : Ko, Stk t T hase / ee ee aac Mobo dndo's : wd Sosy ff or cee ose 2 Tha nantomn ae le t tA ot Ke 5 aXe Ja ® cnererent ode a . se ycEcien Ney: \T the SO Suppe% Hot fou evry ol eC cml Rome on unieble at A= aes} wl ET (t™%)) Be, a racerned one d, ¢) ekle J eexplip & TX) =o aH Ce . wowck © wt Ty Yond rf (OX) ane fa peso & “e a Vhuw M ( a 4 YX ange dn 3 , (ee Suny a=) to ; anes " es TS 4 iy sane Ahoub™ 5 a et NECESSITY Sup oad Yan & ra viene deol = Qoadbior wheat di) ta ej vp, 3,9 (2) wey sv Mm) mn eal fey Po / Lek az Gra, - omy! we - at. Then Gy = Ee Y] = het iTS es A = (m)7? ic af of 7 ite — (XK a = exalt (its ae a 46 Oy al M meted fubute d wale » : Se Y Aa moun awd — Varoct a. TZ: Fe Siownunioral pow (R ae”) oll Ashrledior By ond ane spon ® Be Be foarw OM Thm By Sng . aud let, -- ;fse)! anouy 0 <% J Fe ceuwal render a ® So D&S 2 amd. covert” : Wy. UL : Venkat A cutonn Qe +e. ppevicus: yoy © Led | in: t 2c} Le a Alechaske preGH odysted | to LH teod - Sypoat that Yack, the romdon | woniabile Wh -W5 40 inadepende He g-feld K . chow tok Wy bron cadeperdia (ucuman . SOLUTION: | Le 0 5 Viens. Ba bw b-la B _ Be aly = | wid Hos fact Hak * | yaw 3 * i 7 Tutla et wv) PRE) Yon 2” “Ae o Free) _| fade 7h, Vwsuy- bee =e Wud ee” ],- Cis asd, i Fee = Loe - => 5 Jw ind -\ c™ Lae raat ny leat ont Mis Sy - _ At =) ¥ {be > Hat = ne lel et 20} Le a Brownian Mstion ond & 70. kT he a heaping Movs? dohrsd by {= Am bt Bye x Let {My -k >of be dupimed as Mo = max 4£2C Show tak Le eee - © Pitt, >a} = 291 B, ah (c) The naked: iy dovmly # fu. chi ta T hey qiaser hy to) - (rey (=) 704 ged est . ds Xt kr Lek Re +204 a Brower weston sfccosd : as febkows « Re Be, f tet Lame Be kOe T eam we hort Ate a Ror) eie~) AME oA Yeh bre Am oe Be 7 Weert {ty a( Be] (2) oe HME SY UB Ot OF = KV Phby 24) © fox} = font et i. ox) =P(woX Bye} ce 2P( By > x) okey . QW Thob in, Yecoune Many Be Peat m Pa) = A-2P C Theory the od og Sroere ae \ Ce (®& yx i ae lez aa 3 Kf Ge sl p(y t20]) hosing = AM, = 0, uk - Ae purodky . roy =? %) XK S LO KO dae Nis) 9 ie amo a) —{ wWisyds| J H \ © wu { (L4Qwt ee ite tH Cebu ate \ Ws) ds = j wit)d ° t - tw ()- twis\ds o¢ dv &) - ¢ Wsds fa conoringad Ex z WiewWt prsces Aue Sabine Wa poadond Skew th oe . Lei be ob tbe) SK) =e ©: i ocesS 6) Sto woe he ye fed hyn on oe 0 5 Bee fan Hus ye) < : Sst eee i SOLUTION; owlt wid) 6) Vas) os ® Sls ae ae aC) $?) oud Yu dae eae © st\e lego i qc 200") = a Ele” NE pees (e-) wl) | dex. sh) oor 2) EC plat ORR SEO 4)+ ne?) as). a ‘b= 50. lan as ar (s@i\= ES) @ Corplr 1B Bs35J ues T82b,053 = ~EL 88-4 +6,) 85 -\ = = t3,(5, -B, ) Jig | + El B® ae £(B al: By M65 “Buf +E a wey ®s |= as (bs a3) By)+ HG, 2) = £8, (83-8) ee hl6s Gee) ) = 9 Ox in & 0. pasrord el gti AOE | FJ) * 28,8, ~ \% 1]. — ELL 2315 | role elt ss) - - EL “ot (Bh +O wh -BS = Fie,-8) 4bs Zz es de soe etl, = Sx aa wm abrrriniglt aCe Rm IEs Bo) V4 ] PSD Rad Re Dock ~ Meyer decnporition of By whine q eN ig) Co = Si? Faost the mtorr ~K Cr ek ic 2 o. rraenaale Ag Arne & why Meine a \ ; I B, A \e naw Brack 8 EM s errs ave i 9 Ay = bla, Apatidebie PY fe (Ons t Ae 0) FEI) = Jey 2 VE we TA) =P bo Cay x Le 7 = Ono munch ; ~wildicy Gatos AY ha -eaaleat We 8 Jn EAE tot ed oy ge +? rn ee et | ae hen? ee smoothie nope Paste GN ea Raver . DUPLING So ERM ARTINGN ES ae ae gost fine SYY eae ne (aleve ce pack aod ta Fo sting MS eS a4 ; C kx eA re Loo F- wee ae xe, ia Ze PR ook , Xa Ap emy ow Kae “Lroory Atel i cnanmerabte andi oe jochegaalts fer ~~ ! TW) cor, By hyphen, . . pe kady 2 ae “yf ooh e il YN, 1, 7 \y eo - Z (?) 4po™ 2 Yow 7 ‘on a wel % Nowa A > Meco | 2 —_ ( \ytowety Yael e LTS 2 Ne Ko" xt z Aye a > Appew} “ . -A ean Kot & { veer) Dre (uric ape kero & SOP ) ca ee . _ » Ew | 3uJ stele z ED hes | + end pe Yn eM | (Sa \ =EVmh Yo © Arent Seth) ; 7 " = vet + Aten Yo Eva! Ful Nowy 4 EL MAG (Fd: tatewt, - \Ne Cow a dogt the punters neralts fex Wuorbigales Lek bea, 2a Lwe wrantiviga2e/> avd Too 5- stopp { Tot) Rome rec. Rote = ¢ v OW / They Xu: [is ' a i ow ¥ sey 5 ee TRF: On OS _ Maz Ves ale mem On pd Xu bo Fu Avecurunade a ¥ Yo 2 (w) Whew 41 U(wdens } ye - Nar Cat tL ites => \ ¢ Sw ir Ne cept EN coun, Bat Hees ZH Ye el Yeu (Fu 3 V aesye = Agen} Eta \K) Zn cell (Sah 7 : Z, \X \Fu cE Lon Yoo +A eeu y el , 4 cau Lr q Kory ATE j a) zk M% lous nem XD & woriagele, . Q \ Nhat hoes xf You eu Ov anartiongalr cod Yur oe ? EE Exomphe: Ler ( (SH) r20 Youn = J Be Ham, TH © | Yn ulwre Tes andy st yen Ba -3m, TEn be ao Grewiwon Wetisl a A w time, Fav aa (Ru). THEN SOLUTION ( PROOF): Kou & a mproings tt We Koen alr Be Kk; =k snc morkivgak , E(8 el \%)= Eley EIS) — -EltlR? - Bb gos ks Be-2s ten ryracobicugede lately AE OMS bb- Dhin ov £( 3H) < ae By Haw coy LM Hysorn we Yn tae -35 (Rkewtse) - how’ . ther! Japan roor ug “ugalla

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