Frankel, David M. (contributor) - 2001 - [Elektronische Ressource]
=
·
(b(X
v
)+r +aρ
1
v
)∇
v
h(W
v
)−b(X
v
)u−aρ
1
v
C(ρ
1
v
)
¸
dv
By integration by parts, this implies
∇
t
= E
∞
Z
v=t
exp …
∇
t
+ βV
1
t
¤
dt
Hence,
Ed∇
t
=[−f(W
t
)(1−ω)G(X
t
)−c(θ
t
,X
t
)+(δ + β + θ
t
)∇
t
]dt
By integration by parts, this …