Exercises 2.4 Exponential martingale Let us de ne Mt = exp(Wt ???? t 2 ) with Wt

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Exercises 2.4 Exponential martingale Let us de ne Mt = exp(Wt ???? t 2 ) with Wt a Brownian motion. Prove that Mt is a martingale using the de nition 2.9. Then prove that Mt is a (local)

martingale using It^o's lemma.

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