Using the Ito formula, I can show that the martingale $$ Z_{t}=\frac{1}{\sqrt{1-t}}\exp -\frac{B_t^2}{2(1-t)}\qquad 0\leq t<1 $$ admits the following differential $$ dZ_t=-\frac{B_t}{1-t}Z_tdB_t. $$ Is it the form of a stochastic differential equation? Thanks!
2026-04-07 16:11:23.1775578283
Martingale and Stochastic equation
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