So the following process involves W(t) which is Brownian Motion, and I need to prove that it is a martingale. Xt=log(1+W(t)2)-∫0t(1-W(s)2)/(1+W(s)2)2ds The problem I am having is the integral. My professor did a lot of integrals w.r.t. W(t), but he didn't do very many integrals where W(t) was in the integrand and we were differentiating w.r.t. t. I feel like I am going to use Ito's formula/rule, but I'm not sure how. I'm still a bit unclear on what is "allowed" with derivatives and integrals of Brownian motion, and w.r.t. Brownian motion. Any recommendations or suggestions as to a direction would be great.