Question: Stochastic Calculus 4. Let {W. = W(t), t 2 0} be the standard Brownian motion with the drift coefficient u and the volatility coefficient o.

Stochastic Calculus

4. Let {W. = W(t), t 2 0} be the standard Brownian motion with the drift coefficient u and the volatility coefficient o. a) The process X, is called a continuous-time martingale if the following conditions are satisfied: . For all t, E[IX+|]

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