Question: Show that {Y(t), t ¥ 0} is a martingale when where c is an arbitrary constant. What is E(Y(t))? C2t y(t) = exp | c

Show that {Y(t), t ‰¥ 0} is a martingale when
Show that {Y(t), t ‰¥ 0} is a martingale when where

where c is an arbitrary constant. What is E(Y(t))?

C2t y(t) = exp | c W(t)- (7.66)

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