4.2 Problems and Solutions
4.2.1 Martingale Representation Theorem
- 1. Let
be a 
-standard Wiener process and let 
be a real-valued random variable on the probability space 
such that 
. For the process
show that
and that 
is a 
-martingale with respect to the filtration 
, 
generated by 
.Solution ...
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