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Continuous Stochastic Calculus with Applications to Finance

Chia sẻ: Nguyễn Họa My | Ngày: | Loại File: PDF | Số trang:337

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Continuous Stochastic Calculus with Applications to Finance

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We should now develop some intuition before we take up the rigorous development in the next section. The elements ω ∈ Ω are the possible states of nature and one among them, say δ, is the true state of nature. The true state of nature is unknown and controls the outcome of all random experiments. An event A ∈ F occurs or does not occur according as δ ∈ A or δ ∈ A, that is, according as the random variable 1A assumes the value one or zero at δ. To gain information about the true state of nature we determine by means of experiments whether...

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