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W is standard Brownian motion; $Y_t = \delta_{1-t}(W_t),\text{ for } 0\le t < 1; Y_t = 0 \ \text{ otherwise};$ where $\delta_s(x) = \frac1{\sqrt{2\pi s}}e^{-\frac {x^2}{2s}}$ How to show that $Y_t$ is a local martingale? This is my first time to touch a local martingale, really have no idea how to proceed with this one.

THANKS A LOT!!

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    Good. You might wish to write your solution as an answer.2012-02-11

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