hard · Quantitative Finance stochastic
The process L_t = exp(-θ W_t - (1)/(2)θ^2 t) is often used as a Radon-Nikodym derivative. Check its drift to confirm it is a martingale.
- Drift is zero.
- Drift is -θ.
- Drift is (1)/(2)θ^2.
- Drift is 1.
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