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I'm studying from Oksendal's book, and I'm stuck at an excercise which asks you to find the differential form of:

X(t) = (W(t)[itex]^{2}[/itex]-t)[itex]^{2}[/itex] - 4[itex]\int[/itex] (W(s))[itex]^{2}[/itex]ds

where W(t) is a Brownian Motion.

I tried several possible functions g(t,W(t)) which could have led to a potential solution (by finding d(g(t,W(t))) with Ito), but none led me any closer to a solution.

Can you please put me in the right direction?

thanks!

Steve

PS. I posted this in the wrong place, it should have been in "Homeworks and coursework questions", but I don't know how to move it...

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# Stochastic differential of a particular martingale

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