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Exercise 5.3. Suppose Bt is a standard Brownian motion on (Q, P). For each of the following choices of Xt, 0 < t <
Exercise 5.3. Suppose Bt is a standard Brownian motion on (Q, P). For each of the following choices of Xt, 0 < t < 1, state whether there is an equivalent probability measure Q such that the Xt is a standard Brownian motion in the new measure. If the answer is yes, give dQ/dP at t = 1. In all cases assume that B0 = 0, X = 0. dxt = 2 dt + dBt, dx=2dt+6 dBt, dxt = 2B+ dt + dBt.
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