Let W denote a standard Brownian motion and define X(t) = µkW (t)– k²t where k € R. Show that X is a martingale and find E(X(t)).

A First Course in Probability (10th Edition)
10th Edition
ISBN:9780134753119
Author:Sheldon Ross
Publisher:Sheldon Ross
Chapter1: Combinatorial Analysis
Section: Chapter Questions
Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...
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Let W denote a standard Brownian motion and define
X(t) = ekW (t)-k²t
where k € R. Show that X is a martingale and find E(X(t)).
Transcribed Image Text:Let W denote a standard Brownian motion and define X(t) = ekW (t)-k²t where k € R. Show that X is a martingale and find E(X(t)).
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