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Consider the discrete-time process S,, defined as Sn-1 + Sn 2 Sn-Sn-1+H At+oS-1√AtEn, n = 1,..., N, where , So > 0, a>0 are constants, 5 are i.i.d. random variables with the law P(51) 1/2, T= A/N, and Ar is sufficiently small. Find the limit distribution of Sy (under the given measure P) when A/→ 0.

Consider the discrete-time process S,, defined as Sn-1 + Sn 2 Sn-Sn-1+H At+oS-1√AtEn, n = 1,..., N, where , So > 0, a>0 are constants, 5 are i.i.d. random variables with the law P(51) 1/2, T= A/N, and Ar is sufficiently small. Find the limit distribution of Sy (under the given measure P) when A/→ 0.

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Consider the discrete-time process S, defined as SnSn-1+p Sn-1 + Sn 2 At+oS-1√Aten n = 1,...,N, where μ, So > 0, 6> 0 are constants, 5 are i.i.d. random variables with the law P(n = ±1) = 1/2, T = A/N, and A is sufficiently small. Find the limit distribution of Sy (under the given measure P) when At → 0.
Transcribed Image Text:Consider the discrete-time process S, defined as SnSn-1+p Sn-1 + Sn 2 At+oS-1√Aten n = 1,...,N, where μ, So > 0, 6> 0 are constants, 5 are i.i.d. random variables with the law P(n = ±1) = 1/2, T = A/N, and A is sufficiently small. Find the limit distribution of Sy (under the given measure P) when At → 0.
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