Hey guys I posted here a couple months ago and everyone was really helpful. I am reaching out tonight to make sure I am doing a problem correctly. I must determine if the following stochastic process is a martingale and if not how can I make it one.
Letbe a Wiener process and
denote time:
I tried to follow another example to test if it is a martingale and came up with the following,
![]()
This is not a martingale and in order to make it a martingale I must drop the end term by addingand then I am left with:
I am just looking for any help in regards if I did it correctly and if I made any mistakes or assumed something that may not be true.
Any help would be appreciated.








![E [X_{t+s} | X_t] = E[ W_{t+s} -2(t+s) | W_t -2t] E [X_{t+s} | X_t] = E[ W_{t+s} -2(t+s) | W_t -2t]](/~talkmath/tex/img/7d9ed1a8e04577abe75832814dc3471a-1.gif)
![= E [ W_{t+s} | W_t - 2t ] -2 (t+s) = E [ W_{t+s} | W_t - 2t ] -2 (t+s)](/~talkmath/tex/img/526f888dd0cd69996a5bc703b39a0d61-1.gif)




Reply With Quote