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) MT (XT) W2T (c) MT (XT) eWT (X ) 3D () g (t, X ) dW 0

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

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.

(X:) %3D () + g (t, X;) dW; 0.

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