Question: Let (12, F,P) be a probability space and let {W(1),t> 0} be a Brownian motion process with filtration F(t),t> 0. a. Is W*(t) a martingale?

Let (12, F,P) be a probability space and let {W(1),t> 0} be a Brownian motion process with filtration F(t),t> 0. a. Is W*(t) a martingale? b. Suppose the price s(t) of a risky asset at time t follows the geometric Brownian motion S(t) = S(0)4+oW(1) 120 Let k be a positive constant. Under what condition on k, A and ois S* (t) a martingale? Let (12, F,P) be a probability space and let {W(1),t> 0} be a Brownian motion process with filtration F(t),t> 0. a. Is W*(t) a martingale? b. Suppose the price s(t) of a risky asset at time t follows the geometric Brownian motion S(t) = S(0)4+oW(1) 120 Let k be a positive constant. Under what condition on k, A and ois S* (t) a martingale

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