Hi This question asks to prove that the given process is a martingale. Looking at the solution it says to use the MGF of normal distribution and then find the expectation. I am confused at how the MGF is used specifically how the value (-2u)^2 comes in the answer. also B(t) - B(u) has a normal distribution so what exactly is the value of t as mentioned in the normal distribution MGF. so the MGF says M(t) = ..... and I am trying to find what is the value of t in B(t) - B(u) Many thanks in advance. Is somebody else finding these 2 chapters 8 and 9 very confusing? I think every question I am tryingto do... I just am not sure what method i should be applying. I have passed all the previous exams in first attempt and only used online tutorials and never touched the core reading. And I am wondering if this time I should refer the core reading. Any suggestion would be very helpful.
