Prove that, for any (lambda in mathbb{C},left(e^{-lambda^{2} t / 2} cosh left(lambda W_{t} ight), t geq 0
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Prove that, for any \(\lambda \in \mathbb{C},\left(e^{-\lambda^{2} t / 2} \cosh \left(\lambda W_{t}\right), t \geq 0\right)\) is a martingale.
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Related Book For
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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