actuwriter
05-11-2008, 12:32 PM
not to continue the trend, but I am having trouble with SOA Sample #11 (ii) (after reading the solution a couple of times).
How does the Var[ a*dt + sigma*dZ(t) | Z(t)] = Var[sigma*dZ(t) | Z(t)]?
I guess this is true since a*dt is a constant.... but can somebody explain?
How does the Var[ a*dt + sigma*dZ(t) | Z(t)] = Var[sigma*dZ(t) | Z(t)]?
I guess this is true since a*dt is a constant.... but can somebody explain?