3697随机过程中等derivationlong
Co-Moving Spread Drift After Re-Centering the Benchmark
题目
Under P, two processes share the same Brownian driver: dX_t = 0.7dt + 0.4dW_t and dY_t = -0.2dt + 0.9dW_t. If Q is chosen so that X has drift -0.1 under Q, what drift does Y have under Q?
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