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(Solved): 4.10. Square of Brownian motion. Let (Bt,tt) be a standard Brownian motion. Verify that Mt ...

$4.10. Square of Brownian motion. Let \( \left(B_{t}, t \geq t\right) \) be a standard Brownian motion. Verify that \( M_{t}=B$

4.10. Square of Brownian motion. Let

(B_{t}, t ? t)

be a standard Brownian motion. Verify that

M_{t} = B_{t}^{2} ? t

is a martingale for the Brownian filtration.

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