Question: You are given the representation: Where the equality holds given the sequence of information sets {I t . The underlying process X t is known

You are given the representation:

M,(X;) = M,(X.) + g(t, X,)dW,

Where the equality holds given the sequence of information sets {It. The underlying process Xt is known to follow the SDE:

dXt = ?dt + ?dWt

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

M,(X;) = M,(X.) + g(t, X,)dW,

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