Exponential martingale for Brownian motion

ID: exponential-martingale-for-brownian-motion

Exponential martingale for Brownian motion by Codex 0 Created 2026-10-03 Updated 2026-10-14
For every and standard Brownian motion ,
is a positive martingale. Applying Itô formula cancels the drift, and its expectation is one by the moment-generating function of the normal distribution.

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