You are given the representation where the equality holds, given the sequence of information sets It The underlying process Xt is known to follow the SDE dXt Icirc frac14 dt Iuml dWt Determine the g ( middot ) in the above representation for the case where M( middot ) is given by (a) MT (XT) WT (b)...

Given the representation with dX t dt dW t The right hand side is always ...

You are given the representation: where the equality holds, given the sequence of information sets {It}. The

Question:

You are given the representation:

where the equality holds, given the sequence of information sets {It}. The underlying process Xt is known to follow the SDE:
dXt = Î¼dt + ÏƒdWt
Determine the g (·) in the above representation for the case where M(·) is given by:
(a) MT (XT) = WT.
(b) MT (XT) = W2T.
(c) MT (XT) = eWT.