3. that the process Let Bt be the standard Brownian motion and Ft. •t Bt + 1 + B S 3Bs - B³ -ds o (1+ B2)3 = σ(Bs, s≤t). Show is a martingale with respect to {Ft,t≥ 0}. (Hint: stochastic integrals with respect to Bt is a martingale.)

3. that the process Let Bt be the standard Brownian motion and Ft. •t Bt + 1 + B S 3Bs - B³ -ds o (1+ B2)3 = σ(Bs, s≤t). Show is a martingale with respect to {Ft,t≥ 0}. (Hint: stochastic integrals with respect to Bt is a martingale.)

Advanced Engineering Mathematics

10th Edition

ISBN:9780470458365

Author:Erwin Kreyszig

Publisher:Erwin Kreyszig

Chapter2: Second-order Linear Odes

Section: Chapter Questions

Problem 1RQ

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