Let \(W_t\) be a standard Brownian Motion. Find \(\alpha \in \mathbb{R}\) so that
\[e^{i W_t + \alpha t}\]
is a martingale (and show that it is a martingale).
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Let \(W_t\) be a standard Brownian Motion. Find \(\alpha \in \mathbb{R}\) so that
\[e^{i W_t + \alpha t}\]
is a martingale (and show that it is a martingale).