State and prove the (d)-dimensional version of Lemma 19.1. Data From Lemma 19.1 19.1 Lemma. Let (Bt,

State and prove the \(d\)-dimensional version of Lemma 19.1.

Data From Lemma 19.1

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19.1 Lemma. Let (Bt, Ft)o be a BM, f L (ATP) for all T> 0, and assume that \f(s, w) < C for some C > 0 and all s > 0 and we Q. Then Ex. 19.1 exp P (JK f(s) dB,-- - {{P(s) as). t0, is a martingale for the filtration (F)0- https://doi.org/10.1515/9783110741278-019 (19.2)