Question: Consider Where Xt is an exponential Wiener process: (a) Calculate the expected value of the increment dZ(t). (b) Is Zt a martingale? (c) Calculate E[Zt].

Consider
Where Xt is an exponential Wiener process:
(a) Calculate the expected value of the increment dZ(t).
(b) Is Zt a martingale?
(c) Calculate E[Zt]. How would you change the definition of Xt to make Zt a martingale?
(d) How would E[Zt] then change?
Z(t) = e–rtXt,
Xt = cWt.

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