Question: 16.12 Show that the stochastic process e t 0 c(s)dBs 1 2 t 0 c2(s)ds is a martingale for any deterministic function c(t).

16.12 Show that the stochastic process e

 t 0 c(s)dBs− 1 2

 t 0 c2(s)ds is a martingale for any deterministic function c(t). Does the result change if c(t, ω)

is a stochastic process such that the stochastic integral is well defined?

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