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Let { } 0 be a standard Brownian motion and suppose { } 0 is given by the equa - tion = ( 2 -
Let { } 0 be a standard Brownian motion and suppose { } 0 is given by the equa - tion = ( 2 - ) 2 + 2 . ( a ) Derive the stochastic differential equation satisfied by { } . ( b ) Derive the decomposition of { } into a martingale and a monotonic predictable pro - cess, if it is possible
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