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Please explain in details, and I don't want answers copied from other WEBSITES ANSWERS . Thanks! Solve the SDE dXt= Ot Xtdwt, such that E

Please explain in details, and I don't want answers copied from other WEBSITES ANSWERS. Thanks!

Solve the SDE dXt= Ot Xtdwt, such that E [exp (1/2 o ds)] < 00 then X is a P- martingale.

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