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Brownian motion and Ito's formula

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Hi, I've attached 2 questions in one file. Thanks.

Question 1 hints:
Hint 1: you have a process Y and a function, the first instinct should be to try Ito.
Hint 2: what would the SDE of a martingale look like? Look at attached lecture note.

Question 2 hint:
Hint: use the integral version of Ito's formula.

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Solution Summary

This provides an example of working with Brownian Motion and Ito's formula.

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