Let X₁ = eg(t) [eW(t) + e−W(t)] where g(t) is a function of t. (a) Use the Ito formula to compute dXt (b) Find all functions g(t) for which X, is a martingale.
Let X₁ = eg(t) [eW(t) + e−W(t)] where g(t) is a function of t. (a) Use the Ito formula to compute dXt (b) Find all functions g(t) for which X, 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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