M****i
发帖数: 58 | 3 For this question, the simplest method that I can find is to use a
representation theorem of continuous local martingale and the theorem of
iterated logarithm of Brownian motion. An advantage of this method is that
c(t) can be allowed to be stochastic. More precisely,
Let c(t) be a stochastic process and we write
f(t)=\int_0^t c(s)^2 exp(2*\int_0^s c(r)dr) ds,
g(t)=exp(-\int_0^t c(r)dr).
Assume that
i)f(t)<\infty, a.s. for every t>=0;
ii)f(t) tends to infinity when t tends to infinity.
iii)g(t)*... 阅读全帖 |
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