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15.Which of the following defines an Ito process?
A.A process where the drift is non-constant and can be stochastic
B.A process where the coefficient of dz is non-constant and can be stochastic
C.A process where either the drift or the coefficient of dz or both are non-constant and can be stochastic
D.A process where proportional changes follow a generalized Wiener process
A.A process where the drift is non-constant and can be stochastic
B.A process where the coefficient of dz is non-constant and can be stochastic
C.A process where either the drift or the coefficient of dz or both are non-constant and can be stochastic
D.A process where proportional changes follow a generalized Wiener process
Answer: C
In a generalized Wiener process the drift and coefficient of dz are both constant. In an Ito process they are not both constant .
In a generalized Wiener process the drift and coefficient of dz are both constant. In an Ito process they are not both constant .
Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015