Verify that if {B(t), t 0} is standard Brownian motion then {Y(r), t 0} is a martingale

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Verify that if {B(t), t 0} is standard Brownian motion then {Y(r), t 0} is a martingale with mean 1, when Y(t) = exp{cB(t) - ct/2}

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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