3692随机过程中等derivationlong
Density Tilt Turning a Positive Drift into a Mild Negative One
题目
Under P, a factor satisfies dX_t = 0.4 dt + 0.8 dW_t. A new measure Q is defined by W_t^Q = W_t + theta t. What theta makes the drift of X under Q equal -0.08?
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