Let (left(B_{t}, mathscr{F}_{t}ight)_{t geqslant 0}) be a one-dimensional Brownian motion and (f in mathcal{C}^{1}(mathbb{R})). Show that (M_{t}:=f(t)
Question:
Let \(\left(B_{t}, \mathscr{F}_{t}ight)_{t \geqslant 0}\) be a one-dimensional Brownian motion and \(f \in \mathcal{C}^{1}(\mathbb{R})\). Show that \(M_{t}:=f(t) B_{t}-\int_{0}^{t} f^{\prime}(s) B_{s} d s\) is a martingale.
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We can prove that Mt is a martingale by showing it satisfies the properties of a martingale Heres ho...View the full answer
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Related Book For 
Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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