Carpenter Stern School of Business Financial Theory
نویسنده
چکیده
There is a finite time horizon [0, T ], a probability space (Ω,F ,P), and a filtration F = {Ft}t=0 satisfying the usual conditions, with F0 = {∅,Ω} and FT = F . Each ω ∈ Ω represents a complete description of what happens from time 0 to T . Each A ∈ Ft represents an event distinguishable at time t, i.e., you know whether or not ω ∈ A at time t. The measure P is the subjective probability measure believed by agents in the economy.
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