Show that {Y(t), t 0} is a Martingale when Y(t) = B2(t) t What is E[Y(t)]?
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Show that {Y(t), t ≥ 0} is a Martingale when Y(t) = B2(t)− t What is E[Y(t)]?
Hint: First compute E[Y(t)|B(u), 0 ≤ u ≤ s].
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Somshukla Chakraborty
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