Let {Bt}t>0 be a standard Brownian motion and {Fi}t>o be the filtration for {Bt}t>o. Using Ito's formula, show that the process X = {X{}t>o defined by %3D Xt = (B + t)e-Bt- %3D is a martingale with respect to the filtration {Fi}t>0.

A First Course in Probability (10th Edition)
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ISBN:9780134753119
Author:Sheldon Ross
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Chapter1: Combinatorial Analysis
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Let {Bt}t>o be a standard Brownian motion and {Fi}i>0 be the filtration for {Bt}t>0. Using
Ito's formula, show that the process X = {X{}t>o defined by
Xt = (Bị + t)e-Bt-
is a martingale with respect to the filtration {Fi}t>0•
Transcribed Image Text:Let {Bt}t>o be a standard Brownian motion and {Fi}i>0 be the filtration for {Bt}t>0. Using Ito's formula, show that the process X = {X{}t>o defined by Xt = (Bị + t)e-Bt- is a martingale with respect to the filtration {Fi}t>0•
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