Prove the result in Section 28.5 that when and with the dzi uncorrelated, f/g is a martingale
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Prove the result in Section 28.5 that when
and
with the dzi uncorrelated, f/g is a martingale for
Transcribed Image Text:
df = r+,0;f dt +of dz, i-1 i=1 dg = r+4,0, g dt +ogg dz, g,i i=1 i=1
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