Let (left(B_{t}, mathscr{F}_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{d}). Show that (X_{t}=frac{1}{d}left|B_{t}ight|^{2}-t, t geqslant 0), is a martingale.

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Let $\left(B_{t}, \mathscr{F}_{t}ight)_{t \geqslant 0}$ be a $\mathrm{BM}^{d}$. Show that $X_{t}=\frac{1}{d}\left|B_{t}ight|^{2}-t, t \geqslant 0$, is a martingale.

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

ISBN: 9783110741254

3rd Edition

Authors: René L. Schilling, Björn Böttcher

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Question Posted: Mar 17, 2024 01:00 AM

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Let (left(B_{t}, mathscr{F}_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{d}). Show that (X_{t}=frac{1}{d}left|B_{t}ight|^{2}-t, t geqslant 0), is a martingale.

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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