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Determine whether the following processes are Martingales. (W(t) is a Brownian motion) (a) X(t) = e R t 0 cos(u)dW(u)? 1 2 R t 0
Determine whether the following processes are Martingales. (W(t) is a
Brownian motion)
(a) X(t) = e
R t
0
cos(u)dW(u)? 1
2
R t
0 (1?sin
2 (u))du
(b) Y (t) = sin(t 2 W(t))
(c) Z(t) = W 5 (t) ? (10W 3 (t) + 15tW(t))t
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