PROBLEM 6 Let {W,:t2 0} be a Brownian motion and let {F;:t 2 0} be its natural filtration. Suppose s 0} a martingale? If not, how can you modify it to obtain a martingale?

PROBLEM 6<br>Let {W,:t2 0} be a Brownian motion and let {F;:t 2 0} be its natural filtration. Suppose s < t. Com-<br>pute E (W|F.). Is {W:t>0} a martingale? If not, how can you modify it to obtain a martingale?<br>

Extracted text: PROBLEM 6 Let {W,:t2 0} be a Brownian motion and let {F;:t 2 0} be its natural filtration. Suppose s < t.="" com-="" pute="" e="" (w|f.).="" is="" {w:t="">0} a martingale? If not, how can you modify it to obtain a martingale?

Jun 08, 2022

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PROBLEM 6 Let {W,:t2 0} be a Brownian motion and let {F;:t 2 0} be its natural filtration. Suppose s 0} a martingale? If not, how can you modify it to obtain a martingale?

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