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15.Which of the following defines an Ito process?

A.A process where the drift is non-constant and can be stochastic

B.A process where the coefficient of dz is non-constant and can be stochastic

C.A process where either the drift or the coefficient of dz or both are non-constant and can be stochastic

D.A process where proportional changes follow a generalized Wiener process

A.A process where the drift is non-constant and can be stochastic

B.A process where the coefficient of dz is non-constant and can be stochastic

C.A process where either the drift or the coefficient of dz or both are non-constant and can be stochastic

D.A process where proportional changes follow a generalized Wiener process

Answer: C

In a generalized Wiener process the drift and coefficient of dz are both constant. In an Ito process they are not both constant .

In a generalized Wiener process the drift and coefficient of dz are both constant. In an Ito process they are not both constant .

Flashcard info:

Author: CoboCards-User

Main topic: Finance & Investment

Topic: Derivatives

Published: 27.10.2015