B*******t
发帖数: 135 | 1 不好意思，不是我偷懒，做了好半天的，实在是才疏学浅没做出来。
刚刚看到置顶，所以声明一下，跟面试没关系，就是作业题。
Steele 书(Stochastic Calculus and Financial Applications, J. Michael Steele)
上的 7.2 & 7.3
7.2
Show that if X_t is any continuous martingale and \phi is any convext
function, then Y_t=\phi(X_t) is always a local submartingale. Give an
example that shows Y_t need not be an honest submartingale.
7.3
Show that if X_t is a continuous local submartingale such that
E(sup_{0<=s<=T} |X_s|) < inf,
then {X_t:0<=t<=T} is an honest submartingale. Show |
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