Compute the expected value of the product of two integrals and , where is the standard WienerProcess[].
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Compare with an alternative computation.
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Using the Ito formula, verify that the process is a martingale with respect to the filtration generated by the Wiener process .
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Apply the Ito formula by converting the process to its standard form. The diffusion coefficient of the standard Ito process must be zero for to be a martingale.