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
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Chapter2: Second-order Linear Odes
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Let Xt
eg(?) [eW(e) + e¬W (4)] where g(t) is a function of t.
(a) Use the Ito formula to compute dX,
(b) Find all functions g(t) for which X is a martingale.
Transcribed Image Text:Let Xt eg(?) [eW(e) + e¬W (4)] where g(t) is a function of t. (a) Use the Ito formula to compute dX, (b) Find all functions g(t) for which X is a martingale.
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