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Results tagged with wienerprocess
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user 43168
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Proof that $\exp(aW(t)-0.5a^2t)$ is a martingale
I'm trying to prove that $Z(t)=\exp(aW(t)-0.5a^2t)$ is a martingale where $W(t)$ is a Wiener process and $a$ is a constant. Here is my attempt:
$$E[Z(t+s)] = E\left[\exp\left(aW(t+s)-0.5a^2(t+s)\righ …
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