PROBLEMS ARE FROM THE TEXT BY OKSENDAL.

HOMEWORK.

Assignment 1: due Wednesday, October 5, 2005, in class.
Chapter 2: 2.9, 2.16, 2.19.

Assignment 2: due Wednesday, October 26, 2005, in class.
Note revised due date.
Chapter 3: 3.2, 3.4, 3.9.
Extra problem: show that the first time that standard one-dimensional Brownian motion reaches the set (a, infinity), where a>0, is a stopping time.

Assignment 3: due Wednesday, November 9, 2005, in class.
Chapter 4: 4.1(c), 4.4, 4.7, 4.10.

Assignment 4: due Monday, November 21, 2005, in class.
Chapter 5: 5.7, 5.9, 5.13, 5.15.
There appears to be a typo in the expression for h_t: there should NOT be a bar over the zeta in the exponent.

Assignment 5: optional to hand in. Chapter 7: 7.1 (b), (f); 7.2 (c); Chapter 8: 8.12, 8.17.