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Drift that makes the tenth power of W a martingale

Question

Let WtW_t be standard Brownian motion and ata_t an adapted process, and consider Xt=Wt10−∫0tau duX_t=W_t^{10}-\displaystyle\int_0^t a_u\,du (the integral uses a dummy variable uu). The choice of ata_t that turns XtX_t into a martingale has the form at=AWtBa_t=AW_t^B for constants AA and BB. Compute the product ABAB.

Short answer

360360. By Ito's formula d(Wt10)=10Wt9 dWt+12⋅90Wt8 dtd(W_t^{10})=10W_t^9\,dW_t+\tfrac12\cdot90W_t^8\,dt, so the drift of XtX_t is 45Wt8−at45W_t^8-a_t. Cancelling it needs at=45Wt8a_t=45W_t^8, so A=45A=45, B=8B=8 and AB=360AB=360.

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