 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2021/ii/paper-4/29k/c/solution

Codex  0 Created 2026-09-24 Updated 2026-09-25

Δ W_{i}

changes under shifts

c Δ t_{i}

exp {c \sum_{i} Δ W_{i} - c^{2} \sum_{i} Δ t_{i} /2} = exp (c W_{T} - c^{2} T /2) .

Multiplying the density and integrating the bounded cylinder function

g

proves the identity.

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