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Question: -Find a martingale X t , with t [0, 1] with zero-(Answered)

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Question:

  1. -Find a martingale Xt, with t ? [0, 1] with zero mean, and ?Var(Xt) = 0.2t5.
  2. -Find 2 different continuous martingales with independent increment. The examples should not be multiple of each other.?
  3. -Consider?the?martingale?Xt?=?eBt?t/2.?Find?limt???Xt.?
  4. Hint:?Find?lim(t??)?P?(|Bt|<?t)?for all ??> 0.

 

Paper#9256529 | Written in 27-Jul-2016

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