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.
Let be 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 adding and 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.