Radon-Nikodym derivative and its dynamic [on hold]











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Let the process $S_{t}$ under the historical measure P be as following
$$dS_{t}=mu S_{t}dt+V_{t}S_{t}dW_{t}^{1}$$
$$dV_{t}=(a+d-bV_{t})dt+sigma(rho dW_{t}^{1}+sqrt{1-rho^2}dW_{t}^{2})$$
Let Q be risk-neutral measure
$$dS_{t}=r S_{t}dt+V_{t}S_{t}dhat{W}_{t}^{1}$$
$$dV_{t}=(a-bV_{t})dt+sigma(rho dhat{W}_{t}^{1}+sqrt{1-rho^2}d hat{W}_{t}^{2})$$
Find the $L_{t}=frac{dQ}{dP}$? And also find the dynamic of $L_{t}$.










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put on hold as off-topic by TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica yesterday


This question appears to be off-topic. The users who voted to close gave this specific reason:


  • "This question is missing context or other details: Please improve the question by providing additional context, which ideally includes your thoughts on the problem and any attempts you have made to solve it. This information helps others identify where you have difficulties and helps them write answers appropriate to your experience level." – TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica

If this question can be reworded to fit the rules in the help center, please edit the question.

















    up vote
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    down vote

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    Let the process $S_{t}$ under the historical measure P be as following
    $$dS_{t}=mu S_{t}dt+V_{t}S_{t}dW_{t}^{1}$$
    $$dV_{t}=(a+d-bV_{t})dt+sigma(rho dW_{t}^{1}+sqrt{1-rho^2}dW_{t}^{2})$$
    Let Q be risk-neutral measure
    $$dS_{t}=r S_{t}dt+V_{t}S_{t}dhat{W}_{t}^{1}$$
    $$dV_{t}=(a-bV_{t})dt+sigma(rho dhat{W}_{t}^{1}+sqrt{1-rho^2}d hat{W}_{t}^{2})$$
    Find the $L_{t}=frac{dQ}{dP}$? And also find the dynamic of $L_{t}$.










    share|cite|improve this question







    New contributor




    Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
    Check out our Code of Conduct.











    put on hold as off-topic by TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica yesterday


    This question appears to be off-topic. The users who voted to close gave this specific reason:


    • "This question is missing context or other details: Please improve the question by providing additional context, which ideally includes your thoughts on the problem and any attempts you have made to solve it. This information helps others identify where you have difficulties and helps them write answers appropriate to your experience level." – TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica

    If this question can be reworded to fit the rules in the help center, please edit the question.















      up vote
      1
      down vote

      favorite









      up vote
      1
      down vote

      favorite











      Let the process $S_{t}$ under the historical measure P be as following
      $$dS_{t}=mu S_{t}dt+V_{t}S_{t}dW_{t}^{1}$$
      $$dV_{t}=(a+d-bV_{t})dt+sigma(rho dW_{t}^{1}+sqrt{1-rho^2}dW_{t}^{2})$$
      Let Q be risk-neutral measure
      $$dS_{t}=r S_{t}dt+V_{t}S_{t}dhat{W}_{t}^{1}$$
      $$dV_{t}=(a-bV_{t})dt+sigma(rho dhat{W}_{t}^{1}+sqrt{1-rho^2}d hat{W}_{t}^{2})$$
      Find the $L_{t}=frac{dQ}{dP}$? And also find the dynamic of $L_{t}$.










      share|cite|improve this question







      New contributor




      Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
      Check out our Code of Conduct.











      Let the process $S_{t}$ under the historical measure P be as following
      $$dS_{t}=mu S_{t}dt+V_{t}S_{t}dW_{t}^{1}$$
      $$dV_{t}=(a+d-bV_{t})dt+sigma(rho dW_{t}^{1}+sqrt{1-rho^2}dW_{t}^{2})$$
      Let Q be risk-neutral measure
      $$dS_{t}=r S_{t}dt+V_{t}S_{t}dhat{W}_{t}^{1}$$
      $$dV_{t}=(a-bV_{t})dt+sigma(rho dhat{W}_{t}^{1}+sqrt{1-rho^2}d hat{W}_{t}^{2})$$
      Find the $L_{t}=frac{dQ}{dP}$? And also find the dynamic of $L_{t}$.







      stochastic-processes radon-nikodym






      share|cite|improve this question







      New contributor




      Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
      Check out our Code of Conduct.











      share|cite|improve this question







      New contributor




      Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
      Check out our Code of Conduct.









      share|cite|improve this question




      share|cite|improve this question






      New contributor




      Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
      Check out our Code of Conduct.









      asked yesterday









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      New contributor




      Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
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      New contributor





      Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
      Check out our Code of Conduct.






      Geoff Chen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
      Check out our Code of Conduct.




      put on hold as off-topic by TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica yesterday


      This question appears to be off-topic. The users who voted to close gave this specific reason:


      • "This question is missing context or other details: Please improve the question by providing additional context, which ideally includes your thoughts on the problem and any attempts you have made to solve it. This information helps others identify where you have difficulties and helps them write answers appropriate to your experience level." – TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica

      If this question can be reworded to fit the rules in the help center, please edit the question.




      put on hold as off-topic by TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica yesterday


      This question appears to be off-topic. The users who voted to close gave this specific reason:


      • "This question is missing context or other details: Please improve the question by providing additional context, which ideally includes your thoughts on the problem and any attempts you have made to solve it. This information helps others identify where you have difficulties and helps them write answers appropriate to your experience level." – TheGeekGreek, 5xum, Davide Giraudo, Jens, Scientifica

      If this question can be reworded to fit the rules in the help center, please edit the question.



























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