The SDE of the reciprocal
Let be a standard Brownian motion, and suppose is a process whose reciprocal satisfies . The process then satisfies an SDE of the form for integers . Find .
Show hints (2)+
- Let ; then . Apply Itô to , keeping .
- ; you get , so .
Answer
Reveal answer →Final answer
-1
Create a free account to see the full worked solution and track your progress.
Interview format: Market Maker, Hedge Fund Quant