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Iosif Pinelis
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Concerning this fact, the paper by Carmona et al. refers (on p. 28) to "Example 2 of Section 4.9.13 of Liptser and Shyriaev [19]".

A proof of this fact can also be found e.g. in Section 9.3 of this project, p. 66.

Iosif Pinelis
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  • 8
  • 107
  • 229