S(t)= Exp{-2uW9t)}; show that {s(t)};T>0} is a continuous time martingale. Could any one please explain the solution. How the exponential exp{-2(u^2)t} came out of expectation. Thanks in advance and Happy new year
Here we have used the basic definition of Martingales as E(S_t | F_s) = S_s then we can say that the process S_t is a martingale So we have used this concept here .. Now , for the exponential exp{-2(u^2)t} part came out of expectation , since we are taking the expectation of the random variable , where the random variable is B(t) , so other than that is constant , so we can take it out of the expectation .
