Is W(t)³ a martingale?
Applying Itô's lemma to , is the resulting process a martingale?
Show hints (2)+
- Apply Itô: watch the second-order term.
- A martingale must have zero drift.
Answer
Reveal answer →Final answer
No — it has a nonzero drift term 3W dt
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Asked at: Jane Street, Citadel