Answer to question 1.

You should also mention that hihi is FtiFti-measurable. Since ii is not a time index, it is not clear what it
means for (hi)(hi) to be adapted. That being said, note that linear combinations of martingales are again
martingales. So then we are done if we just show that whenever s<ts<t
E[hi−1(Bti∧t−Bti−1∧t)∣Fs]=hi−1(Bti∧s−Bti−1∧s)
E[hi−1(Bti∧t−Bti−1∧t)∣Fs]=hi−1(Bti∧s−Bti−1∧s)

First consider the case s<ti−1s<ti−1. Clearly, the RHS is 00.

For the LHS use the tower property as follows
E[hi−1(Bti∧t−Bti−1∧t)∣Fs]=E[E[hi−1(Bti∧t−Bti−1∧t)∣Fti−1]∣Fs]

=E[hi−1E[(Bti∧t−Bti−1∧t)∣Fti−1]∣Fs]=0
E[hi−1(Bti∧t−Bti−1∧t)∣Fs]=E[E[hi−1(Bti∧t−Bti−1∧t)∣Fti−1]∣Fs]=E[hi−1E[(Bti∧t−Bti−1∧t)∣Fti−1]∣Fs]=0

To see why the last step is true note that

E[Bti∧t∣Fti−1]=Bti−1∧tE[Bti∧t∣Fti−1]=Bti−1∧t.

Now consider the case s≥ti−1s≥ti−1. Doob helps a lot here.

Remember that a stopped martingale is again a martingale. That is what I use below.

E[hi−1(Bti∧t−Bti−1∧t)∣Fs]=hi−1E[(Bti∧t−Bti−1∧t)∣Fs]=hi−1E[(Btti−Btti−1)∣Fs]

=hi−1(Bsti−Bsti−1)=hi−1(Bti∧s−Bti−1∧s)

E[hi−1(Bti∧t−Bti−1∧t)∣Fs]=hi−1E[(Bti∧t−Bti−1∧t)∣Fs]=hi−1E[(Btit−Bti−1t)∣Fs]

=hi−1(Btis−Bti−1s)=hi−1(Bti∧s−Bti−1∧s)

This finishes the proof I think.

Answer to question 2.

Denote by

p(t,x):=12πt−−−√exp(−x22t),x∈R,
p(t,x):=12πtexp⁡(−x22t),x∈R,

the density of the normal distribution with mean 00 and variance tt. As you already noted, this function
solves the heat equation, i.e.
∂/∂tp(t,x)=12∂2∂x2p(t,x).
∂∂tp(t,x)=12∂2∂x2p(t,x).

For f∈C2f∈C2 compactly supported it follows easily from the integration-by-parts-formula that

∫p(t,x)12∂2∂x2f(x)dx=∫f(x)∂∂tp(t,x)dx.

(1)(1)∫p(t,x)12∂2∂x2f(x)dx=∫f(x)∂∂tp(t,x)dx.

For f∈C2bf∈Cb2 we set

Mft:=f(Wt)−f(W0)−∫t012f′′(Wr)dr.
Mtf:=f(Wt)−f(W0)−∫0t12f″(Wr)dr.

We have to show that

E(Mft−Mfs∣Fs)=0for all s≤t.
E(Mtf−Msf∣Fs)=0for all s≤t.

Since (Wt)t≥0(Wt)t≥0 has independent and stationary increments, we know

that Wt−WsWt−Ws and FsFs are independent and Wt−Ws∼Wt−sWt−Ws∼Wt−s.

Therefore,

E(Mft−Mfs∣Fs)=E(f((Wt−Ws)+Ws)∣Fs)−f(Ws)

−1/2∫tsE(f′′((Wr−Ws)+Ws)∣Fs)dr

=Ef(Wt−s+z)∣∣∣z=Ws−f(Ws)−1/2∫tsE[f′′(z+(Wr−Ws))]∣∣z=Wsdr

=Ef(Wt−s+z)∣∣∣z=Ws−f(Ws)−12∫t−s0E[f′′(z+Wr)]∣∣z=Wsdr

=E[f(z+Wt−s)−f(z)−12∫t−s0f′′(Wr+z)dr]∣∣∣z=WsE(Mtf−Msf∣Fs)

=E(f((Wt−Ws)+Ws)∣Fs)−f(Ws)−12∫stE(f″((Wr−Ws)+Ws)∣Fs)dr

=Ef(Wt−s+z)|z=Ws−f(Ws)−12∫stE[f″(z+(Wr−Ws))]|z=Wsdr=Ef(Wt−s+z)|z=Ws−f(Ws)−12∫0t−sE[f″(z+Wr)]|z=Wsd
r=E[f(z+Wt−s)−f(z)−12∫0t−sf″(Wr+z)dr]|z=Ws
(In the last step, we have used that (Wt)t≥0(Wt)t≥0 has stationary increments,
i.e. Wr−Ws∼Wr−sWr−Ws∼Wr−s, and a change of variables.)

Setting φ(x):=f(x+z)φ(x):=f(x+z) for fixed z∈Rz∈R, we therefore conclude that it suffices to show that

E(Mφt−s−Mφ0)=E[φ(Wt−s)−φ(0)−12∫t−s0φ′′(Wr)dr]=0.(2)(2)E(Mt−sφ−M0φ)=E[φ(Wt−s)−φ(0)−12∫0t−sφ″(Wr)
dr]=0.

Now fix 0<ϵ<u0<ϵ<u. Then, by Fubini's theorem ("Fub", for short)

E(Mφu−Mφε)=E(φ(Wu)−φ(Wε)−1/2∫uεφ′′(Wr)dr)=

Fub∫Rφ(x)⋅p(u,x)dx−∫Rφ(x)⋅p(ε,x)dx−12∫uε∫Rφ′′(x)⋅p(r,x)dxdr

=(1)∫Rφ(x)⋅(p(u,x)−p(ε,x))dx−∫uε∫Rφ(x)⋅∂∂rp(r,x)dxdr=ε>0

Fub∫Rφ(x)⋅(p(u,x)−p(ε,x))dx−∫Rφ(x)⋅∫uε∂∂rp(r,x)drp(u,x)−p(ε,x)dx=0(3)

E(Muφ−Mεφ)=E(φ(Wu)−φ(Wε)−12∫εuφ″(Wr)dr)=Fub∫Rφ(x)⋅p(u,x)dx−∫Rφ(x)⋅p(ε,x)dx−12∫εu∫Rφ″(x)⋅p(r,x)dxdr=(
1)∫Rφ(x)⋅(p(u,x)−p(ε,x))dx−∫εu∫Rφ(x)⋅∂∂rp(r,x)dxdr=ε>0Fub∫Rφ(x)⋅(p(u,x)−p(ε,x))dx−∫Rφ(x)⋅∫εu∂∂rp(r,x)dr⏟p(u,x)
−p(ε,x)dx(3)=0

Since Mφϵ→Mφ0Mϵφ→M0φ as ϵ→0ϵ→0 (as ff is continuous) and

∥Mfϵ∥∞≤2∥f∥∞+u∥f′′∥∞,0<ϵ<u‖Mϵf‖∞≤2‖f‖∞+u‖f″‖∞,0<ϵ<u

it follows from the dominated convergence theorem that we can let ϵ→0ϵ→0 and obtain
0=(3)limϵ→0E(Mφu−Mφε)=E(Mφu−Mφ0).0=(3)limϵ→0E(Muφ−Mεφ)=E(Muφ−M0φ).
This proves (2).
Answer to question 3.

Let’s consider that there are 2 points that are not known.

(x0,y0)(x1,y1)
(x0,y0)(x1,y1)

I know that from these 2 unknown points a set of quadratics passes

fi(x)=a2x2+a1x+a0
fi(x)=a2x2+a1x+a0

0<i<n0<i<n

i.e. the quadratics intersect at these two unknown points. For each one of the quadratics: I know
the leading coefficient
a2
a2

and a point
(xi,yi)
(xi,yi)

Is it possible to find the intersection points of those polynomials?

(x0,y0)(x1,y1)
(x0,y0)(x1,y1)

I think that if I know the leading coefficient and a point from four quadratics (n=4) I can define
their intersection.

Is that right?

By using Newton Interpolation's Method:

a2 = y2−(y0+y1−y0x1−x0(x2−x0))/(x2−x0)(x1−x0)
a2=y2−(y0+y1−y0x1−x0(x2−x0))(x2−x0)(x1−x0)