Hi,
I have been given this problem and the solution however, neither make sense to me.
x_t=\int exp(t-s)E(k_s|F_t)ds
(the integral is from t to infinity)
where
k_u=m^d_u-(m^d_u)^*-α(y_u-y_u^*) for all u>0
suppose (m_t, t>0) is a martingale, what is an equation for x_t using...