3700随机过程中等derivationlong
Auxiliary Process Drift After Calibrating a Target Process
题目
Under P, two processes share the same Brownian driver: dX_t = 0.3dt + 0.2dW_t and dY_t = 0.45dt + 0.1dW_t. If Q is chosen so that X has drift -0.05 under Q, what drift does Y have under Q?
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