Another Ito process question (God bless Ito)

MonicaCFA · March 21st, 2006, 10:44 pm

I am a bit frustrated with the fact that Ito calculus involves not only procedural problems but a LOT of proofs. God Bless Ito. But keep him away from me!!!I circle and circle the same options. So, to get our of that poverty trap, can anyone help me with the following?Suppose dXt = u(t,w)dt + dWt is an Ito process where u is bounded. How do I show that is a martingale and the process Yt = XtMt is also an Ft martingale?In other words, Xt is a martingale with respect to the measure Q defined by dQ = MtdP on Ft.

JuanFangio · March 22nd, 2006, 2:16 pm

Just in case it helps, and to clarify, there is an integral for 1/2 u^2 ds

qxiaking · April 3rd, 2006, 3:32 am

This is part of the proof of classic Girsanov theorem. You may find it in many standard stochastic calculus book, like Steven Shreve's book.