reviously
( General change of Brownian
motion) we calculated that for the generic change of measure
the Brownian motions
of the original measure and the
of the new measure are connected by the
equality
where the
comes from the
SDE
According to the formula ( Change of
numeraire kernel) the change of numeraire the process
is given by the
expression
Hence,
Therefore,
 | | (Change of Brownian motion) |
|
