5

Brown
5.1. Brown
. (.. ) . n
() . St t,

S ( i 1) h b, . p
S ih =
S ( i 1) h a, . 1 p
h
.
, Sih = S(i1)ha S(i1)hb. Xt = lnSt , ih = X(i1)h
+ lna lnX(i1)h + lnb.
. t, t 0

X (i 1) h + c, . p
X ih =
X (i 1) h + d , . 1 p
t h 0 c,d 0. p
0.5. , .. p 0.5,
t ( 1) ().
t, .
,

X (i 1) h + h , . p
X ih =
X (i 1) h h , . 1 p

p = 1 +
h , i = 1,2,,n.
2

(X0 = 0 x0) , . i = 1 0
i- ,

Boutsikas M.V. (2005-7),

& ,

63

i =1

i =1

X t = X nh = h Yi h (n Yi ) = 2

tp (1 p )

h =t / n

t
t n
Yi n

n
n i =1

Y np

+ nt (2 p 1) ,
np (1 p )
n , ( , ...),
= 2

i =1 i

in=1 Yi np
d N (0,1) ,
np (1 p)

2 tp (1 p) t ,

nt (2 p 1) = t ,

t ( h0) ..

t Z + t

Z ~ N(0,1)

X t ~ N (t , t 2 ) .
s, s[0, t] ( n = 100 1000)
( = 0, = 1).
1

0.75

0.75

0.5

0.5

0.25

0.25
0.2

-0.25

0.4

0.6

0.8

0.2

0.4

0.6

0.8

-0.25

-0.5

-0.5

-0.75

-0.75

-1

-1

(paths) s, s[0, t].

, s, s[0, t]
g(s) = Xs(), s[0, t] ).
h 0
t+y y. , ,
t , .. t+y y, t > 0 u, 0 u y. t ~ N(t, t2) t+y y ~
N(t, t2) y 0 . : y ( y, y) (. ) Xt = y+t Xy, t > 0
t Xt = y+t Xy ~ N(t,
t2).

Boutsikas M.V. (2005-7),

& ,

64

t
y

. .
5.1.1. t, t 0 ( R) Brown
R ( - drift parameter) > 0 ( - volatility) (. (,
2)) , y 0, t > 0,

1) .. t+y y ~ N(t, t2).

2) .. t+y y, u, 0 u y (. . (u, u y)).
0 = 0 ( x0).

10 () Brown = 1, =
1 ( t [0,1])
t

O
0.2

0.4

0.6

0.8

-1

.. t = 0.5, 0.5 (0.5, 0.52) = (0.5, 0.5), t = 1 1

(1, 12) = (1, 1) ...
Brown .
Robert Brown, (1827)
.
Albert Einstein (1905)
. , Norbert Wiener
(1918) (
Wiener Process).
Boutsikas M.V. (2005-7),
& ,

65

 10 ( , ) 0 0.
Brown (i) g(t) = Xt() (ii)
. , (..)

X t1 X t 0 , X t 2 X t1 , ..., X t m X t m1 ,
t1 t0 = t2 t1 = = tm tm-1 . (i)
t ( ) h1/2
h, 0 h 0.
5.1.1. ( )

X (i 1) h + h, . p
X ih =
X (i 1) h h, . 1 p
h h
h. (
) t = 0 . 1 ( n ),
.
h , . h1/2 h 0 h.
5.1.2. A t, t 0 ~ BM, t (irregular paths). , t, t 0 (. {Xt(), t 0}
) t ( )
( ).
Brown.
h, h1/2, h1/2/h = h-1/2
h 0. , ( ) .

5.2. Brown

Bachelier, 1900,
Brown ,

(i) , ,
(ii) , ,
(.. 100 100+10=110
h 10 10+10=20
h) . , Boutsikas M.V. (2005-7),
& ,

66

 (
100 1001.1=110 10 101.1=11).
,
Sih/S(i-1)h .

S ( i 1) h b, . p
S ih =
S ( i 1) h a, . 1 p
St t. ,
h, St :
S (i1) h e h , . p
Sih =
h
, . 1 p
S (i1) h e

p = 1 +
.
2

, Sih/S(i-1)h
, 0.5.
t = lnSt, Xih = X(i-1)h h1/2 ( p + 1 p
), Xt = lnSt t 0 Brown. , .. Xt+y Xt =
lnSt+y lnSy = ln(St+y/Sy) (t, t2)
Su, 0 u < y.
Brown.
, .
5.2.1. St, t 0 Brown
R ( - drift) > 0 ( - volatility) (. G(, 2)) , y 0, t > 0,
1)
ln

St + y
Sy

~ N (t , t 2 ) , (S0 = 1)

2) .. St+y /Sy Su, 0 u y.

Brown, Brown
. M
St, t 0 (. {St(), t 0} )
t ( ) ( ).
t, t 0 ~ BM(,2), e X t , t 0 ~ GBM(,2). St,
t 0 ~ GBM(, 2) St ,
,

ln St ~ N (t , t 2 ) ,
, ~ (0,1), k .. St
E ( Stk ) = E ((e ln St ) k ) = E ((e

) ) = e kt E (e k

t Z +t k

Boutsikas M.V. (2005-7),

& ,

tZ

67

,
E (euZ ) =

1
2

1
z2
uz
2

e e

dz =

1
2

1
1
( z u )2 + u 2
2
2

dz =

x = z u

1 2
u
2

1
x2
2

u2

dx = e 2 ,

E ( Stk ) = e

1
kt + k 2t 2
2

E ( St ) = e

1
t( + 2 )
2

, V ( St ) = E ( S ) E ( St ) = e
2
t

1
2t ( + 2 )
2

(et 1) .

10 Brown t, t[0,
1], = 0.1, = 0.8, 10 Brown St
= e X t , t[0,1]. .

Brown
1 ( ), 0.
3

0.2

0.4

0.6

0.8

-1

( = 0.1, = 0.8)
3

St = e X t
1

0.2

0.4

0.6

0.8

-1

G( = 0.1, = 0.8)
t = 1, 1 (1, 12) = (0.1, 0.64), S1
E ( S1 ) = e

1
t( + 2 )
2

1
1( 0.1+ 0.8 2 )
2

=e

= e0.22 1.246 , V ( S1 ) = e

1
2t ( + 2 )
2

(et 1) = e0.44 (e0.64 1) 1.083

Xt ~
BM( = 0.5, = 1) ( ) St ~ GBM( = 0.5, = 1) ( ). Boutsikas M.V. (2005-7),
& ,

68

, t[0,1], Xt ( St) (. ) 0.025, 0.125, 0.25, 0.5, 0.75, 0.875, 0.975 .

2

3.5

1.5

0.975

0.875

0.875
2.5

0.75
0.5

0.50

0.4

0.6

0.8

0.125

0.50

1.5

0.25

0.025

-0.5

0.75

0.25
0.2

0.975

St

0.125
0.025

-1

0.5

t
1

,
Brown.
, , , .

5.3.
() martingale
:

5.3.1. (i) (, F, P) . -
Ft, t 0 ( F) Fs Ft s, t s t (filtration) . t, t 0 Ft, t 0 t Ft ( (t) Ft).
(ii) t, t 0 martingale Ft, t
0 (Ft martingale) , (|t|) < ,

E ( X t | Fs ) = X s , s t
. 1 ( submartingale supermartingale).
t, t 0 Ft B(,2) B(,2), Ft, t 0 .. t+s s
Fy y s. B(,2) Ft B(,2) Ft = (s, s t),
. Wt, t 0,
Brown, B(0,1).

5.3.1. Wt, t 0 Ft B(0,1)

(i) Wt, t 0,

(ii) Wt t , t 0,
2

(iii) e

Wt

2
2

, t 0.

Ft martingale.

. , Wt Ft Wt ~ N(0,t). (|Wt|)
E (Wt ) = t < ( .. ()2 (2)). , s t,
2

.
Boutsikas M.V. (2005-7),
& ,

69

E (Wt | Fs ) = E ((Wt Ws ) + Ws | Fs ) = E (Wt Ws | Fs ) + E (Ws | Fs ) = E (Wt Ws ) + Ws = 0 + Ws

(ii)
(iii)
.
, Q martingale ()

(hedging portfolio), ( T)
.

. .
.

5.3.1. (
). , ti xi = (i, i) (i i )
Si = ( e rti , Si)

x i Si = x i1 Si , i = 1, 2, ,n.

Vi Vi1 = x i Si xi1 Si1 = xi1 (Si Si1 ) ,

Vi ti. ,
(
i = 1, 2, , k n),
k

i =1

i =1

Vk V0 = (Vi Vi1 ) = xi1 (Si Si1 ), k = 1,2,..., n .

xi, Si Fti - . ti .
xt =
(t, t) t, St = (ert, St)
,
k

i =1

i =1

i =1

Vkh V0 = x (i1) h (Sih S( i1) h ) = ( i1) h (e rih e r ( i1) h ) + ( i1) h ( Sih S ( i1) h ), k = 1,2,..., n
t = kh, h 0,
t

Vt V0 = x de rx + x dS x , t [0, T ] ,

Boutsikas M.V. (2005-7),

& ,

70

 . ()
t
de rx
rx

de
=

dx
=
r
x
x
0
0 dx
0 x e dx
t

rx

Riemann x
( Lebesgue Lebesgue, ).

5.3.2. ( Riemann ) . Riemann .

t

Y = Wx dx
0

Wx, x 0 Brown.
Y ( ) = t0 Wx ( ) dx R,
(Riemann) Wx, x[0, t]. Brown
( ).
Xt

.
Riemann f (x) ( )

t
0

f ( x) dx = sup f (ti ) (ti ti 1 ) ,

i =1

supremum {t0 < < tn} [0, t]. ,

t0 = 0, t1 = h, t2 = 2h, , tn = nh, h = t/n,

t
0

t/h

f ( x) dx = lim f ((i 1)h) (ih (i 1)h) = lim f (ih) h .

h0

h0

i =1

i =1

Riemann Wx, x[0,t],

t
0

t/h

Wx dx = lim Wih h .
h 0

i =1

.. i = Wih W(i-1)h, i = 1,2,,n, .. (0,h) ( Wt Brown).

n

i =1

i =1

hWih = h (Z1 + Z 2 + ... + Z i ) = h(nZ1 + (n 1)Z 2 + ... + 1 Z n ) ,

Boutsikas M.V. (2005-7),
& ,

71

(n = t/h) .. ( ) 0 ,
n

V hWih = V (h(nZ1 + (n 1) Z 2 + ... + 1 Z n ) ) = h 2 (n 2V ( Z1 ) + (n 1) 2 V ( Z 2 ) + ... + 1 V ( Z n ))

i=1

n(n + 1)(2n + 1) t (t + h)(2t + h)

= h3 (n 2 + (n 1) 2 + ... + 1) = h 3
=
.
6
6
, h , Riemann Wx, x[0,t],
..
t
t3
W
dx
N
~
(
0
,
).
0 x
3

, Riemann, ,
dS x
dx
dx

Sx() ( ). .

x dS x = x
0

5.4. It

t
0

x dS x

[t / h]

i =1

( i 1) h

( Sih S(i1) h )

h .

Brown. , (, F, P)
( ) Ft, t 0.
Wt, t 0, Ft B(0,1). Wt, t 0, Brown, Ft, t 0, .. .. t+s s Fy y s.
t, t [0, T] T > 0 Ft, t 0 , ,
t
E x2 dx < t [0, T].
0

t Wt
.
t , t .
Boutsikas M.V. (2005-7),
& ,

72

 5.4.1. = {t0,t1,,tn} [0, T] (. 0 = t0 < t1 < < tn =

T). t [0, T], ( ) Ft , , [ti-1, ti).

t .
t ()

t0

t1

t2

t3

t4

...

tn

5.4.2. It t, t 0
Wt , t 0, [0, t],
k 1

I t = x dWx = ti (Wti+1 Wti ) + tk (Wt Wtk ) .

t

i =0

k tk t tk+1.
.. t, t [0, T]
(. g(t) = t() ).
Brown .
, It t x, x[0,t]. .. (,)(0,x) : () x, : W Wa (a,
) Wt, x.
5.5. It.

It ( t, t 0) (
t, t 0
).
5.5.1. (i) It Ft .

(ii)

t
0

( x + x ) dWx = x dWx + x dWx ,

t
0

c x dWx = c x dWx ,
0

c (t, t 0, )
(iii) ( It)
t
t
E ( I t2 ) = E ( x dWx ) 2 = E x2 dx , t [0, T].
0

(iv)
Boutsikas M.V. (2005-7),
& ,

73

I t = x dWx , t [0, T],

0

martingale Ft, t [0, T].

. (i), (ii) .

(iii) t = tk Di Wti+1 Wti .

2
k 1
k 1 i 1
t

k 1

E x dW x = E ( t Di ) 2 = E ( t2i Di2 + 2 t t j Di D j )

i =0
i =0 j =0
i =0

H .. Di t , t j , Dj ( s, s ti, Wt
Ft - (0,1) Di Fti , (s) Fti , s ti,
Dj, j < i Wt )

k 1 i 1
k 1 i 1
E t t j Di D j = E ( t t j D j ) E ( Di ) = 0
i =0 j =0
i =0 j =0
(Di) = 0. ,
2
k 1
k 1
t
k 1
E x dWx = E ( t2i Di2 ) = E ( t2i ) E ( Di2 ) = E ( t2i )(ti+1 ti )
i =0
i =0
i =0
0
t
k 1

= E t2i (ti+1 ti ) = E x2 dx .
0

i =0

tk < t < tk+1 (

).
(iv) H It, t [0, T] , (i), Ft, t [0, T]. ,
E(X2) = E(|X|2) (E|X|)2 ..,
t
E | I t | E ( I t2 ) = E x2 dx < .
0

t, t
. , s < t. s = tm, t = tk, m
< k.
k 1

m 1

k 1

i =0

i=m

E ( I t | Fs ) = E ( t (Wti +1 Wti ) | Ftm ) = E ( t (Wti +1 Wti ) + t (Wti +1 Wti ) | Ftm )

i =0

m 1

k 1

k 1

i =0

i=m

i=m

= t (Wti +1 Wti ) + E ( t (Wti +1 Wti ) | Ftm ) = I s + E ( t (Wti +1 Wti ) | Ftm )

k 1

k 1

k 1

i =m

i =m

i=m

E ( t (Wti+1 Wti ) | Ftm ) = E ( t E (Wti +1 Wti | Fti ) | Ftm ) = E ( t 0 | Ftm ) = 0

Boutsikas M.V. (2005-7),
& ,

74

 E (Wti +1 Wti | Fti ) = E (Wti +1 | Fti ) Wti = 0 , ,

Brown martingale. E(t | Fs) = Is. tm < s < tm+1, tk < t <
tk+1 tk < s < t < tk+1 (
).
t, t [0, T]. t, t [0, T] Ft
. t ( )
t( j ) j = 1, 2 , t
T
lim E | t t( j ) | 2 dt = 0 .
j 0

t( j ) : [0, T] n = 2j (.
t0 = 0, t1 = h, t1 = 2h, , tn = nh = T h = T / 2j, n = 2j) t( j ) ,
t [0, T] [ti, ti+1) ti , i = 1, 2, , n. 4 t( j ) t.
t

t(2)

t(1)

t(4)

(3)

5.5.1. It t, t 0 Wt , t
0 [0, t], t T,

t
0

x dW x = lim x( j ) dW x .
j

t( j ) , t [0, T], j = 1, 2 , t, t
[0, T].
t ( ). ,
It
.
Boutsikas M.V. (2005-7),
& ,

75

 5.5.1.

It

t
0

Wx dWx .

t
0

Wx dWx =

Wt
0

x dx =

Wt 2
.
2

, . Wt, t
[0, T] Ft, t [0, T] :
t

t2
< .
2

E ( Wx2 dx) = E (Wx2 ) dx = x dx =

j. t0 = 0, t1 = h, t1 = 2h, , tn = nh = T h =
T / 2 j, n = 2 j Wt(j), t [0, T]
[ih, (i+1)h) Wih, i = 0, 1, , n1. Wt(j),
n1

I T( j ) = Wx( j ) dWx = Wih (W( i+1) h Wih ) .

T

i =0

(W0 = 0)
n 1

n 1

n 1

n 1

n 1

n 1

i =0

i =0

i =0

i =0

i =0

i =0

(W(i +1) h Wih )2 = W(2i +1) h + Wih2 2W(i +1) hWih = Wnh2 + 2Wih2 2W(i +1) hWih
n 1

n 1

= Wnh2 + 2 Wih2 W( i +1) hWih = WT2 2Wih W( i +1) h Wih ,

i =0

i =0

n 1
1 2 1 n 1
( j)
W
dW
=
W
W

W
=
WT (W( i +1) h Wih ) 2 .
( i +1) h
ih
ih
0 x x
2
2 i =0
i =0
T

.. i = n(W( i +1) h Wih ) 2 , i = 1, 2, , n, ..

E (n(W( i +1) h Wih ) 2 ) = nh = T ,
n 1

(W
i =0

( i +1) h

Wih ) 2 =

1 n 1
Yi E (Y ) = T .
n i =0

n 1
T
1 2 1
1
1
( j)
W
dW
=
lim
W
dW
=
W

lim
(W( i +1) h Wih ) 2 = WT2 T .
0 x x j 0 x x 2 T 2 j
2
2
i =0
T

T ,

t
0

1
1
Wx dWx = Wt 2 t , t 0.
2
2

Boutsikas M.V. (2005-7),

& ,

76

 5.5.1.
k 1

i =0

(Wt i +1 Wt i )

It . , ..
k 1

i =0

t i +1

(Wt i+1 Wt i ) ,

t [ti, ti+1] (
),
(.. WtdWt ).
, , t ,
[ti, ti+1]; (.. )
It
.
, t
[ti, ti+1]
ti. t, t 0 Ft, t 0 t i ti ( .. t i+1

ti).
5.5.2. , t =
x dWx , t [0, T] martingale t0 Wx dWx t [0, T] martingale.
t
0

E ( Wx dWx ) = E ( I 0 ) = 0.
0

t0 Wx dWx = Wt 2 / 2 . ,
t
t t t
1
E ( Wx dWx ) = E (Wt 2 ) = = 0 .
0
2
2 2 2
.
5.5.3. , , .
t

2 Wx dWx = Wt 2 t , t 0
0

2Wx dWx = dWx2 dx, x 0 .

0 t .
( Boutsikas M.V. (2005-7),
& ,

77

 ), . Wt.
5.5.4. , T,
Wt [0, ]
n 1

1 n 1
Yi = E (Y ) = T ,

n0 n
i =0

lim (W(i +1) h Wih ) 2 = lim

n0

i =0

i = n(W( i +1) h Wih ) 2 , (.

t T), t0 (dWx ) 2 = t (dWt ) 2 = dt . ,

( )
n1

T n1
(W( i+1) h Wih ) = T 0 = 0,

n0 n
i =0

lim (W(i+1) h Wih )(t( i+1) h tih ) = lim

n0

i =0

n1

lim (t( i+1) h tih ) 2 = lim n

n0

n0

i =0

T2
= 0,
n2

(dWt ) 2 = dt ,

dWt dt = 0 ,

(dt ) 2 = 0 .

5.6. It
( f, g),
d
f ( g (t )) = f ( g (t )) g (t ) df ( g (t )) = f ( g (t ))dg (t ) .
dt
( . Riemann)
t

f ( g (t )) f ( g (0)) = f ( g ( x)) g ( x) dx
0

It.

t

f (Wt ) f (W0 ) = f (Wx )dWx

0

( df (Wt ) = f (Wt )dWt ).

, .

Brown.

Boutsikas M.V. (2005-7),

& ,

78

 5.6.1. ( It f (Wt)). f : RR f f Wt ~ (0,1). t

0
t

f (Wt ) f (W0 ) = f (Wx )dWx +

0

1 t
f (Wx )dx .
2 0

. , ,
. , .
df ( g (t )) = f ( g (t ))dg (t ) Taylor f (
x0):
f ( x) = f ( x0 ) + f ( x0 )( x x0 ) +

f ( x0 )
( x x0 ) 2 + , x.
2

(x x0)3. , x = g(t + h), x0 = g(t)

f ( g (t + h)) f ( g (t )) = f ( g (t ))( g (t + h) g (t )) +

f ( g (t ))
( g (t + h) g (t ))2 + ,
2

h 0

df ( g (t )) = f ( g (t ))dg (t ) +

f ( g (t ))
(dg (t )) 2 = f ( g (t ))dg (t ) ,
2

(dg (t )) 2 = ( g (t )) 2 (dt ) 2 = 0 , , (dt)2 = 0. x = Wt+h, x0 = Wt

f (Wt + h ) f (Wt ) = f (Wt )(Wt + h Wt ) +

f (Wt )
(Wt + h Wt ) 2 +
2

h 0
df (Wt ) = f (Wt )dWt +

f (Wt )
f (Wt )
dt
(dWt ) 2 = f (Wt )dWt +
2
2

(dWt)2 = dt.
.
It
(dg(t))2 ( 0 g )
(dWt)2 ( dt).

Boutsikas M.V. (2005-7),

& ,

79

 5.6.1. f (x) = x2/2 It :

t
1 2 1 2
1 t
Wt W0 = Wx dWx + dx
0
2
2
2 0

t0 Wx dWx = Wt 2 / 2 t / 2
It.

5.6.2. ( It f (t,Wt)). f (t, x): R2R

i+ j
f f (i , j ) , i, j = 0, 1, 2,
i
j
t x
Wt ~ (0,1). t 0
t

f (t ,Wt ) f (0,W0 ) = f ( 0,1) ( x,Wx )dWx + f (1, 0 ) ( x,Wx )dx +

1 t ( 0, 2)
f
( x,Wx )dx .
2 0

. , .
Taylor f ( (t0,x0)), (t, x),

f (t , x) = f (t0 , x0 ) + f ( 0,1) (t0 , x0 )( x x0 ) + f (1, 0 ) (t0 , x0 )(t t0 )

+

1 ( 0, 2 )
1
f
(t0 , x0 )( x x0 ) 2 + f (1,1) (t0 , x0 )( x x0 )(t t0 ) + f ( 2,0 ) (t0 , x0 )(t t0 ) 2 + .
2
2

A x = Wt+h, x0 = Wt , t, t0 t + h, t,

f (t + h,Wt + h ) = f (t ,Wt ) + f ( 0,1) (t ,Wt )(Wt + h Wt ) + f (1, 0 ) (t ,Wt )h

1 ( 0, 2 )
1
f
(t ,Wt )(Wt + h Wt ) 2 + f (1,1) (t ,Wt )(Wt + h Wt )h + f ( 2, 0) (t ,Wt )h 2 + ,
2
2

h 0
df (t ,Wt ) = f ( 0,1) (t ,Wt )dWt + f (1, 0) (t ,Wt )dt
1
1
+ f ( 0, 2 ) (t ,Wt )(dWt ) 2 + f (1,1) (t ,Wt )dWt dt + f ( 2, 0 ) (t ,Wt )(dt ) 2 ,
2
2
, (dWt ) 2 = dt , dWt dt = 0, (dt ) 2 = 0 ,
df (t ,Wt ) = f ( 0,1) (t ,Wt )dWt + f (1,0 ) (t ,Wt )dt +

1 ( 0, 2)
f
(t ,Wt )dt .
2

Boutsikas M.V. (2005-7),

& ,

80

 5.6.2. f (t, x) = e x+t (, ) It

t

f (t ,Wt ) f (0,W0 ) = f ( 0,1) ( x,Wx )dWx + f (1, 0 ) ( x,Wx )dx +

1 t ( 0, 2 )
f
( x,Wx )dx
20

eWt + t 1 = eWx +x dWx + eWx + x dx +

1 t 2 Wx + x
e
dx
2 0

2 t Wx + x
e
dx
= eWx + x dWx + +
0
2 0

deWt + t = eWt + t dWt + ( + 2 / 2) eWt + t dt

Brown St = S0eWt + t , t 0 (GBM(,2) S0)

2 t
St S0 = S x dWx + +
S x dx
0
2 0

dS t = S t dWt + ( + 12 2 ) S t dt .

5.7. It
It

t
0

x dWx ,

t, t [0, T] Brown Wt, t 0. Vt . ,

t
0

x dS x ,

St, t 0 ( .. St t),
Brown. Brown

St, t 0, Brown. ,

, Brown.

t
0

x dYx ,

t, t 0 . t, t 0 It .
Boutsikas M.V. (2005-7),
81
& ,

 5.7.1. (It processes It). t, t 0 It

t

Yt = Y0 + H x dWx + Gx dx ,
Wt ~ Ft - BM(0,1), Ht, Gt, t 0,
Ft, t 0
(H 0 F0 , .., , E ( t0 H x2 dx) < , t0 | Gx | dx < t > 0)
St = S0eWt + t It , 5.6.2 Ht = St, Gt = ( +2/2)St. Ht, Gt Ft, t 0, t
Wt St.
t0 x dYx dYx
,
dYx = H x dWx + Gx dx .
.

5.7.2. ( It It). t, t 0
It dYt = Ht dWt + Gt dt t, t 0 Ft, t
0. It t t
t

dYx = x H x dWx + x Gx dx .

.. It, St = S0eWt + t,

t
0

x dS x = x ( S t dWt + ( + 12 2 ) S t dt ) = x S t dWx + ( + 12 2 ) x S t dx .

It
It.

5.7.1. ( It f (t,t), Yt It). f (t,x):R2R

i+ j
f f (i , j ) , i, j = 0, 1, 2,
i
j
t x
Yt to dYt = Ht dWt + Gt dt. t 0
t

f (t , Yt ) f (0, Y0 ) = f ( 0,1) ( x, Yx ) dYx + f (1,0 ) ( x, Yx )dx +

1 t ( 0, 2)
f
( x, Yx ) H x2 dx

0
2

= f ( 0,1) ( x, Yx ) H x dWx + f ( 0,1) ( x, Yx )Gx dx + f (1, 0 ) ( x, Yx )dx

Boutsikas M.V. (2005-7),
& ,

82

1 t ( 0, 2)
f
( x, Yx ) H x2 dx

0
2

( )

. It f (t,Wt), Taylor f (
Wt t)
1 ( 0, 2 )
1
f
(t , Yt )(dYt ) 2 + f (1,1) (t , Yt )dYt dt + f ( 2,0 ) (t , Yt )(dt ) 2
2
2
2
2
, , (dWt ) = dt , dWt dt = 0, (dt ) = 0 , dYt = H t dWt + Gt dt ,
df (t , Yt ) = f ( 0,1) (t , Yt )dYt + f (1, 0 ) (t , Yt )dt +

(dYt ) 2 = ( H t dWt + Gt dt ) 2 = H t2 (dWt ) 2 + Gt2 (dt ) 2 + 2 H t Gt dWt dt = H t2 dt ,

dYt dt = 0,
df (t , Yt ) = f ( 0,1) (t , Yt )dYt + f (1,0 ) (t , Yt )dt +

1 ( 0, 2)
f
(t , Yt ) H t2 dt
2

= f ( 0,1) (t , Yt ) H t dWt + f ( 0,1) (t , Yt )Gt dt + f (1, 0 ) (t , Yt )dt +

1 ( 0, 2)
f
(t , Yt ) H t2 dt .
2

.
( Taylor
) .

5.7.2. ( It f (t,t), Xt, Yt

It). f (x, y): R2R
i+ j
f f ( i , j ) , i, j = 0, 1, 2, Xt, Yt to. t 0
t i x j
df ( X t , Yt ) = f ( 0,1) ( X t , Yt )dYt + f (1,0 ) ( X t , Yt )dX t +
+ f (1,1) ( X t , Yt )dYt dX t +

1 ( 0, 2 )
f
( X t , Yt )(dYt ) 2
2

1 ( 2, 0)
f
( X t , Yt )(dX t ) 2
2

f (x, y) = xy ,
It.

5.7.1. ( It). t, Yt It,

d ( X t Yt ) = X t dYt + Yt dX t + dYt dX t .

. Boutsikas M.V. (2005-7),
& ,

83

 () Q (, F) martingale ()
. . () Girsanov ()
martingale .

5.8. Girsanov
Z .. (, F, P) [0,) 1 ( Z > 0 .
1), Q: F [0,1] F

Q ( ) = Z dP = ZI A dP = E P ( Z I A ) ,

( = 1 0 )
(, F). ,
, .. Z Radon-Nikodym Q P, , Z = dQ/dP.
, .. ,
EQ ( X ) = X dQ = X ZdP = E P ( X Z ) .
(, F, P) Ft, t
[0,].

Z t = E P ( Z | Ft ), t [0, T ] ,
P-martingale , 0 s < t T,
E P ( Z t | Fs ) = E P ( E P ( Z | Ft ) | Fs ) = E P ( Z | Fs ) = Z s , t [0, T ] .
( ) 0 s t T,
EQ (Y | Fs ) =

1
E P (Y Z t | Fs )
Zs

.. Ft .

5.8.1. ( (, F) P Q ..). W: (, F, P) R W ~P (0, 1).

O ~P P.
, W + ~P N(,1).
P , Q, ,
, .. W + (0,1) ( W + ~Q (0,1)).
(, F) Q ,
Z ..

Z =e

W 12 2

Boutsikas M.V. (2005-7),

& ,

84

 .. Z , Z > 0 P(Z) = 1. Q , .. W

Q (W w) = EP ( Z I[W w] ) = EP (e

1
W 2
2

I[W w] ) =

1
x 2
2

1
x2
2

dx =

1
2

1
w ( x + ) 2
2

dx

W ~Q N(, 1), W + ~Q N(0,1). PW =

QW+ = (0,1) PW P R .. W QW+
Q R .. W + ).
(, F, P) Ft
Wt, t 0 ~ Ft - (0,1). Wt, t 0 Brown P
Wt ~P (0,1). : t, t 0 Ft P Q
t

Wt + x dx ~Q Ft - (0,1);
0

.
5.8.1. (Girsanov). (, F, P) Ft, t [0,] Wt, t [0,] ~ Ft - (0,1). t, t [0,] Ft.
t

Wt = Wt + x dx ~Q Ft - (0,1)
0

( Brown Q)

Q F Q ( ) = E P ( Z T I A ) ( dQ = Z dP)
t

Z t = exp( x dWx
0

1 t 2
x dx) .
20
T

( P(T) = 1, E P ( 2x Z x2 dx) < )

0

. ( Levy):
t martingale X0 = 0, (dXt)2 = dt
~ (0,1). Wt martingale , W0 = 0, (dWt)2 = dt.
5.8.1. t
Z t = E P ( Z T | Ft ), t [0, T ] (. ) Ft .. ,

EQ (Y | Fs ) =

1
E P (Y Z t | Fs ) , 0 s t T.
Zs

Boutsikas M.V. (2005-7),

& ,

85

5.9. martingale
5.9.1. ( martingale). (, F, P) Wt, t [0,]
~ (0,1). Mt, t [0,] martingale Ft, t [0,],
Wt, t [0,], (. Ft = (Wx, x t)) Ft Gt, t
[0,]
t

M t = M 0 + Gx dWx , t [0, T ] .
0

( 5.5.1) It Wt ~ (0,1)
martingale Wt.
martingale : martingale, t, Wt It Wt (
M0). t martingale
Wt. t Ft = (Wx, x t) , t
[0,], Mt Wx, x t.

Boutsikas M.V. (2005-7),

& ,

86