Question: Consider a variable,, that follows the process dS = dt + dz For the first three years, = 2 and =

Consider a variable,, that follows the process

dS = μ dt + σ dz

For the first three years, μ = 2 and σ = 3; for the next three years, μ = 3 and σ = 4. If the initial value of the variable is 5, what is the probability distribution of the value of the variable at the end of year six?

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