Can a stochastic process with drift also be viewed as a process without drift? This modestly paradoxical question is no mere curiosity. It has many important consequences, the most immediate of which is the discovery that almost any question about Brownian motion with drift may be rephrased as a parallel (but slightly modified) question about standard Brownian motion.
KeywordsBrownian Motion Importance Sampling Quadratic Variation Standard Brownian Motion Slope Line
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