Show that the process M(t) := W2(t) t is a martingale, that is, that E[M(t)M(s)] =

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Show that the process M(t) := W2(t) − t is a martingale, that is, that E[M(t)M(s)] = M(s) for s ≤ t.

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Organic Chemistry

ISBN: 9788120307209

6th Edition

Authors: Robert Thornton Morrison, Robert Neilson Boyd

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Question Posted: Jun 29, 2016 12:56 AM

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Show that the process M(t) := W2(t) t is a martingale, that is, that E[M(t)M(s)] =

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One way to show this is to use It os rule dW 2 2 WdW ...View the full answer

Organic Chemistry

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