Question: Instructions below 4. (8 points) Let (B t ) tER + a standard Brownian motion on a probability space (2, A, P) and F =

Instructions below

4. (8 points) Let (B t ) tER + a standard Brownian motion on a probability space (2, A, P) and F = (F t ) tER + With F t = O (B s : s E [0, t]) their natural filtration. Prove that the stochastic process X = (X t ) TER + With Xt = B 3 t - 3tB t (2) is an F-martingale

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