3698随机过程中等derivationlong
Macro Factor Drift After Removing a Reference Premium
题目
Under P, two processes share the same Brownian driver: dX_t = 0.5dt + 0.25dW_t and dY_t = 0.15dt + 0.35dW_t. If Q is chosen so that X has drift 0 under Q, what drift does Y have under Q?
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