Beruflich Dokumente
Kultur Dokumente
n:Dene the simple function At = 3Wt;j if tj t tj +1 Assumptions: tj t tj +1 2 2 ) = 3(9t2 6ttj 3t2 claim : E(3Wt2 3Wt;j j) by linearity of expectation we know that 2 4 9E(Wt4 ) 18E(Wt2 Wt;j ) + 9E(Wt;j ) which then gives us 2 2 2 2 27t + 27tj + 18E((E(Wt Wt;j ))=Ft;j ) = 2 2 27t2 + 27t2 j + 18E(Wt;j (E(Wt ))=Ft;j ) = 2 2 2 2 t + t))=Ft;j ) = 27t + 27tj + 18E(Wt;j (E(Wt 2 2 27t2 + 27t2 + 18 E ( W ( E ( W t + t))=Ft;j ) = t j t;j 2 2 2 2 27t + 27tj + 18E(Wt;j (Wt tj + t)=Ft;j ) since Wt2 t is martingale and t is a constant 2 2 27t2 + 27t2 18E(Wt tj + t)=Ft;j ) = j ;j (Wt;j 2 27t2 + 27t2 18(3 t + t ( t t )) = j j j j 2 2 2 2 27t + 27tj 54tj 18ttj + 18tj = 3(9t2 6ttj 3t2 j)
n 1 X t j +1 Z n 1 X j =0
9t2
t j +1 Z
6ttj
3t2 j dt =
3(t2 j +1
t2 j )(tj +1
tj )
j =0 t j
9t2
6ttj
3 3t2 j dt = 3t
3t2 tj
tj
j +1 3t2 = j t jtj
3 3 2 3(t3 t3 t2 t2 tj ) j +1 j j +1 tj + tj j tj +1 + tj ) = 3(tj +1 (tj +1 2 2 3(tj +1 tj )(tj +1 tj ) therefore it follows that tj +1 n 1 Z n 1 X X 9t2 6ttj 3t2 dt = 3(t2 t2 tj ) j +1 j )(tj +1 j j =0 t j j =0
t2 j (tj +1
tj ) =
n 1 X j =0
RT (n) iii) conclude that E 0 (3Wt2 At )2 dt ! 0 as n ! 1 RT R T 2 2 2 2 E 0 (3Wt2 3Wt;j ) dt = 0 E(3Wt2 3Wt;j ) dt = t j +1 n 1 Z n 1 X X 3(9t2 6ttj 3t2 ) dt = 9(t2 t2 tj ) = j j +1 j )(tj +1
j =0 t j j =0
9(tj +1 + tj )(tj +1
tj )(tj +1
tj ) =
n 1 X j =0
9T n2 (tj +1 + tj ) =
T2 n2
2T 3 n
n 1 X j =0
T ((j + 1) T n + j n) = T3 n3
T2 n2 (2n(n
T 1) T n + n n2
T n
! 0 as n ! 0 since T is xed
B) i) Show that 3Wt2 (Wtj+1 Wtj ) = (Wt3 Wt3 ) 3Wtj (Wtj+1 Wtj )2 (Wtj+1 Wtj )3 j j +1 j 3 we know that (Wtj+1 Wtj ) = (Wt3 Wt3 ) 3Wt2 Wtj + 3Wtj+1 Wt2 = j +1 j j +1 j 3 3 (Wtj+1 Wtj ) 3Wtj+1 Wtj (Wtj+1 Wtj ) = (Wt3 Wt3 ) 3Wtj (Wtj+1 Wtj )(Wtj+1 + Wtj Wtj ) ) j +1 j (Wtj+1 Wtj )3 = (Wt3 Wt3 ) 3Wtj (Wtj+1 Wtj )2 3Wt2 (Wtj+1 Wtj ) j +1 j j Now just by rearranging the terms we get: ) 3Wtj (Wtj+1 Wtj )2 (Wtj+1 Wtj )3 Wt3 (Wtj+1 Wtj ) = (Wt3 3Wt2 j j +1 j ii) Dene In =
n 1 X j =0
Wtj (Wtj+1
Wtj )2 and Jn =
show that E[ In Jn ] = 0 and E[ (In Jn )2 ] ! 0 as n ! 1 let s condition on Ftj so we get E(E[ In Jn ]=Ftj ) = E(E(Wtj ((Wtj+1 Wtj )2 (tj +1 tj ))=Ftj ) = E(Wtj E(((Wtj+1 Wtj )2 (tj +1 tj ))=Ftj ) = E(Wtj (((tj +1 tj ) (tj +1 tj )) = 0 n 1 X and prove that E[ (In Jn )2 ] = 2 tj (tj +1 tj )2 ! 0
j =0
n 1 X j =0
Wtj (tj +1
tj )
E E
((Wtk+1 Wtk )2 (tk+1 tk ))=Ftk ] = n 1 X E (Wt2 E((Wtj+1 Wtj )2 (tj +1 tj ))2 =Ftj )2 = j E E
j=0 n 1 X
n 1 X
(Wtj ((Wtj+1
Wtj )2
(tj +1
tj )))2 = (tj +1 tj ))
Wtj )2
tj )2 tj )2 ) =
T n2
2
2((tj +1
n 1 X
tj )2 + (tj +1
tj )2 =
j=0 n 1 X j=0
3
j=0 n 1 X
E(2Wt2 (tj +1 j
tj )2 = 1) T n3 =
3
2tj (tj +1
3
tj )2 =
j=0 n 1 X j=0
( 2j T n ) = 2n(n
iii) Dene Kn =
n 1 X j =0
(Wtj+1
(Wtj+1
Wtj )3 = 0
Wtj )3 ) Wtj )3 )
E((Wtj+1
Wtj )6 + 2
1<j<k<n
n 1 X
E((Wtj+1
Wtj )3 (Wtj+1
= E
5 3(tj +1 E((Wtj+1
tj )3 ; it is worth noting that the second term is Wtj )3 (Wtj+1 Wtj )3 E(Wtj+1
n 1 X j =0 T3 n3 ZT 0
j =0 n 1 X j =0
j =0 n 1 X
E((Wtj+1
= 0 therefore E( n(n 1) 5 3
(Wtj+1 !
3 15 T n
Wtj )3 )2 =
3 15 T n3
c) conclude that ZT
0
3 3Wt2 dWt = WT
! 0 as n ! 1 ZT 3 3Wt dt
0 n 1 X j =0
n 1 X j =0
5 3(tj +1
tj )3 =
Note that
n 1 X j =0
3Wt2 (Wtj+1 j
W tj ) =
(Wt3 j +1
Wtj )2
(Wtj+1
3Wt2 (Wtj+1 j
W tj ) =
(Wt3 j +1
Wt3 ) j
3Wtj (Wtj+1
3 W0
n 1 X j =0
3Wtj (Wtj+1
Wtj )2 ZT
0
3 WT
3 W0
3Wt dt
3 W0
3 3In = WT
3Wt dt