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25 views

Proposition from Oksendal Stochastic Calculus

I am reading Oksendal's Malliavin Calculus with applications to Finance and there is a part that I do not understand. First we have a proposition which is fine: If $\zeta_1$,$\zeta_2$,... are ...
2
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1answer
58 views

Optimal Investment Strategy

I am not sure to solve the following investment problem: I have an investor which receives an income $I_n\ge 0$ at the start of year $n$. The investor chooses a proportion $p_n\in[0,1]$ of this in ...
1
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0answers
287 views

Analogue of Leibniz Rule for Stochastic Integrals

Suppose $$f(t,u)=f(0,u)+\int_0^t{\mu (w,u)dw}+\int_0^t{\sigma(w,u)dB_w}$$, where $B_w$ is a standard Brownian motion. I would like to calculus the drift and diffusion of $Y_t=-\int_t^s{f(t,u)du}$ ...
3
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1answer
235 views

Futures pricing and futures price process under the real world measure

This is something that keeps bothering me about the Benchmark approach of Platen, which (very) shortly is as follows: Compare the development of an economic value with a growth optimal portfolio. ...