reviously
(see the formula (
General change
of Brownian motion
)) we calculated generic change of measure for Brownian
motion
.
If
is given by the
SDE
in the original measure then the change
results in
where the
is a standard Brownian motion with respect to the new probability
.
According to the formula (
Change of
numeraire kernel
), when the change of numeraire is performed, the process
is given by the
expression
Thus,
for Brownian motion
in
-measure.
Therefore,
or
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(Change of Brownian motion)
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