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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Please do not rely too much on chatgpt, because its answer may be wrong. Please consider it carefully and give your own answer. You can borrow ideas from gpt, but please do not believe its answer.Very very grateful!Please do not rely too much on chatgpt, because its answer may be wrong. Please consider it carefully and give your own answer. You can borrow ideas from gpt, but please do not believe its answer.

and and Very very grateful!

And please do not copy other's work!!Thanks!

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.)

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