Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 211 / 3 / b

The bounded local martingale $\pi$ is a true martingale. Its terminal condition is ${\pi }_T=U(T,v_T,S_T)=g(S_T)$, soThis is also the Feynman-Kac formula for the displayed backward equation.