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3702随机过程中等derivationmedium

Spread Drift Target via One Girsanov Tilt

题目

Under P, dX_t = 0.7dt + 0.5dW_t and dY_t = 0.2dt + 0.4dW_t share the same Brownian motion. Let L_t = 1X_t + -1Y_t. If Q is chosen so that L has drift -0.1 under Q, what theta is required and what is the resulting Q-drift of X?

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你的答案

theta

X drift