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    Ejercicios de Calculo Estocastico y Aplicaciones

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    elihu anastacio
    This document is an exam paper for a stochastic calculus course. It contains 6 questions about stochastic calculus topics like stochastic integrals, martingales, stochastic differential equations, and Markov chains. The questions require calculating properties of stochastic processes, proving statements about solutions to stochastic differential equations and martingale properties, setting up Markov chain and differential equation models, and analyzing long-time behavior.

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    Ejercicios de Calculo Estocastico y Aplicaciones

    Uploaded by

    elihu anastacio
    13 views4 pages
    This document is an exam paper for a stochastic calculus course. It contains 6 questions about stochastic calculus topics like stochastic integrals, martingales, stochastic differential equations, and Markov chains. The questions require calculating properties of stochastic processes, proving statements about solutions to stochastic differential equations and martingale properties, setting up Markov chain and differential equation models, and analyzing long-time behavior.

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    Ejercicios de calculo estocastico y aplicaciones

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    This document is an exam paper for a stochastic calculus course. It contains 6 questions about stochastic calculus topics like stochastic integrals, martingales, stochastic differential equations, and Markov chains. The questions require calculating properties of stochastic processes, proving statements about solutions to stochastic differential equations and martingale properties, setting up Markov chain and differential equation models, and analyzing long-time behavior.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    13 views4 pages

    Ejercicios de Calculo Estocastico y Aplicaciones

    Uploaded by

    elihu anastacio
    This document is an exam paper for a stochastic calculus course. It contains 6 questions about stochastic calculus topics like stochastic integrals, martingales, stochastic differential equations, and Markov chains. The questions require calculating properties of stochastic processes, proving statements about solutions to stochastic differential equations and martingale properties, setting up Markov chain and differential equation models, and analyzing long-time behavior.

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    © All Rights Reserved
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    You are on page 1of 4

    MATHEMATICAL TRIPOS Part III

    Tuesday 5 June 2001 1.30 to 4.30

    PAPER 24

    STOCHASTIC CALCULUS AND APPLICATIONS

    Answer FOUR questions. The questions carry equal weight.

    You may not start to read the questions


    printed on the subsequent pages until
    instructed to do so by the Invigilator.
    2

    1 Let (Ω, F) be a measurable space equipped with a filtration (Ft )t>0 . Explain what
    is meant by the previsible σ-algebra P.

    Consider the case where Ω = (0, ∞) and F is the Borel σ-algebra on Ω. Suppose
    that (Ft )t>0 is the natural filtration of the process

    Xt (ω) = 1t6ω .

    Show that
    (a) Ft = {B ∈ F : B ⊆ (0, t) or B c ⊆ (0, t)},
    (b) P = {((Ω × T ) ∩ {(ω, t) : ω > t}) ∪ (A ∩ {(ω, t) : ω < t}) : A ∈ F ⊗ F, T ∈ F}.

    2 Let M be a continuous L2 -bounded martingale and let H be a strictly simple


    process, that is, for some 0 = t0 6 t1 6 . . . 6 tn and bounded Ftk -measurable random
    variables Ztk ,
    n−1
    X
    Ht = Ztk 1tk <t6tk+1 .
    k=0

    Define the integral (H · M )t and show that


    Z ∞
    E[(H · M )2∞ ] = E Hs2 d[M ]s
    0

    where [M ] is the quadratic variation process of M .


    Outline briefly how this identity allows extension of the notion of the integral H ·M
    to all locally bounded previsible processes.

    3 Let M be a continuous local martingale starting from 0.


    (a) Show that, if f is a C 2 function and f (M ) is of finite variation, then f (M ) ≡ f (0).
    (b) Show that, if A is a deterministic continuous finite variation process and M 2 − A
    is a local martingale, then Mt ∼ N (0, At ) for all t > 0.

    Paper 24
    3

    4 Consider the stochastic differential equation in R

    dXt = σ(Xt )dBt + b(Xt )dt, X0 = 0.

    Here σ, b : R → R are Lipschitz functions and B is a Brownian motion. Suppose that, for
    some finite constant A, we have

    |σ(x)|2 + |b(x)|2 6 A(1 + |x|2 ). (∗)

    Show that, for any solution X,


     
    E sup |Xt |2 6 e8A .
    t61

    Deduce that, even if σ and b are only locally Lipschitz, then condition (*) guarantees
    the existence of a solution (Xt )t61 to the stochastic differential equation.

    5 Consider the differential operator on R

    x2 00 x 1
    Lf (x) = f (x) + f 0 (x) − f (x).
    2 2 2

    Let u ∈ Cb1,2 ([0, ∞) × R) solve the Cauchy problem

    ∂u
    = Lu on [0, ∞) × R,
    ∂t
    u(0, ·) = g(·) on R.
    Show that, for the solution (Xt )t>0 of a certain stochastic differential equation, we have

    u(t, x) = Ex e−t/2 g(Xt )), t > 0.

    Hence obtain the fundamental solution p(t, x, y) of the Cauchy problem for L,
    showing in particular that

    1 −(log y+t)2 /2t


    p(t, 1, y) = √ e , y > 0.
    2πt

    Paper 24 [TURN OVER


    4

    6 In the playground of a large school there is a craze for paper-scissors-stone. This


    is a game for two players, each of whom simultaneously declares himself or herself to be
    one of paper, scissors or stone. The winner is decided as follows: scissors cut paper, stone
    blunts scissors and paper wraps up stone. The loser of any game switches to his opponent’s
    choice next time, whilst the winner sticks with the same choice.

    Suppose that games take place as a Poisson process of rate λ, and that, in each
    game, the pair of players is chosen randomly from the N children in the playground. Write
    down a Markov chain model for the proportions of children choosing paper, scissors and
    stone.

    Show that, if λ is taken to be a suitable function of N , then, in the limit as N → ∞,


    the Markov chain is well approximated (in a sense you should make precise) by the system
    of differential equations

    ẋ1t = x1t (x3t − x2t ),


    ẋ2t = x2t (x1t − x3t ),
    ẋ3t = x3t (x2t − x1t ).

    [Any appeal that you make to standard results should be supported by a precise statement,
    but not a proof.]
    Show that x1t x2t x3t is a constant and comment on this fact in the light of the long
    time behaviour of the approximating Markov chains.

    Paper 24

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