Question: Let Xt = (X1 t , X2 t ) be the unique solution to the SDE dX1 t = 2dt + dB1 t + dB2

Let Xt = (X1 t , X2 t ) be the unique solution to the SDE dX1 t = 2dt + dB1 t + dB2 t , 0 t T dX2 t = 6dt + dB1 t dB2 t , 0 t T X0 = x0 R2, on some filtered probability space (, F, P, {Ft}0tT ) with a SBM Bt = (B1 t , B2 t ). Find a probability measure Q on FT (i.e., its Radon-Nikodym derivative w.r.t. P), under which (Xt)0tT is a (Ft)0tT martingale

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