A stochastic equation for a martingale consider an adapted


Question: A stochastic equation for a martingale). Consider an adapted process x(t) that satisfies the Novikov condition. Define the processes

2409_Novikov.png

(i) Apply Itô's formula to the function f(y) = ey to show that1838_Novikov 1.png

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Management Theories: A stochastic equation for a martingale consider an adapted
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