Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2012/iii/paper-34/6/b/solution

Take . Boundedness of and the derivatives gives a finite bound . On the assumed local martingale satisfies
It is therefore a bounded local martingale on this time interval. To check the true martingale property directly, stop at a localizing sequence, apply its conditional martingale identity, and pass to the limit by dominated convergence theorem using this deterministic bound. Since is arbitrary,
The hypothesis for every test function contains the required class. No integrability assumption on the unbounded test functions is needed.

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