Kayccee1449 Kayccee1449

29-03-2024
Mathematics

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Exponential moments of exit times) Let (Bt)t≥0 be a standard Brownian motion, X t =exp( 2 1 θ 2 t)cos(θ(B t − 2 b a )) prove Xt is a martingale a < 0 < b be two real numbers for θ ∈ R?

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