. Let Xt be a diffusion defined by the stochastic differential equation dXt = (1/2) dt + Sqrt(Xt dBt,) | X0 = 1. Fi

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. Let Xt be a diffusion defined by the stochastic differential equation dXt = (1/2) dt + Sqrt(Xt dBt,) | X0 = 1. Fi

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. Let Xt be a diffusion defined by the stochastic
differential equation
dXt = (1/2) dt + Sqrt(Xt
dBt,) | X0 = 1.
Find a PDE which must be satisfied by f(t, x) in order for f(t,
Xt) to be a martingale with respect to the Brownian filtration.
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