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 Nov 25 asked Substituting integral into an integral Nov 25 revised Expectation of exponential martingale and indicator function. deleted 118 characters in body Nov 24 revised Density process/Radon-Nikodym derivative problems edited title Nov 24 accepted Expectation of exponential martingale and indicator function. Nov 24 comment Density process/Radon-Nikodym derivative problems @DavideGiraudo What you mean by integrating on a set of non-zero measure on which $f \leq 0$. All of that. Nov 24 comment Density process/Radon-Nikodym derivative problems @DavideGiraudo I'm afraid I don't follow. Nov 24 comment Density process/Radon-Nikodym derivative problems @DavideGiraudo I've revised to make this clear. Nov 24 comment The Lebesgue integral $\int_\Omega dP$ @did I'm taking a stochastics course with no background in measure theory so I have holes everywhere, unfortunately! Nov 24 comment Expectation of exponential martingale and indicator function. @did I apologize for the typo. Nov 24 revised Expectation of exponential martingale and indicator function. added 4 characters in body Nov 24 accepted The Lebesgue integral $\int_\Omega dP$ Nov 24 asked Density process/Radon-Nikodym derivative problems Nov 24 asked The Lebesgue integral $\int_\Omega dP$ Nov 24 accepted Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. Nov 24 revised Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. deleted 15 characters in body Nov 24 comment Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. @saz No. $\rho$ is the correlation coefficient. The equality $\langle W_1,W_2 \rangle_t = \rho t$ is provided in the (ungraded) homework question's preamble where $\rho \in [-1,1]$. Nov 24 revised Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. deleted 144 characters in body Nov 24 revised Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. deleted 34 characters in body; edited tags Nov 24 asked Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. Nov 24 comment Expectation of exponential martingale and indicator function. @TheBridge I am not allowed to change probability measure in this question (they specifically told us so).