应该是一个挺基础的问题。。。。。。我概念没掌握好 没弄明白

麻烦大家讲解一下啊 谢谢~

Thanks a lot for your post!

One point that I am not quite clear~ :

For the first example, that is X_t=2*B_t when 0<t<T, and X_t=B_T+B_t when t>=T, I understand that it is Gaussian. But I guess it is not a martingale, since the brownian motion is not a U.I. martingale. So E(B_T) would not necessary be E(B_0). (?)

还有关于correlation那部分也不太明白。。。。。。   能否再分析一下？

万谢！

you mean exp(B_t^2-t), the exponential martingale, right?

yes this should be a good example~ thanks!