Question: Let Xt be a geometric Wiener process, XteYt where Yt ¼ N(μt, Ï2t) Consider the definition And the trivial equality Using these, calculate the expectation:

Let Xt be a geometric Wiener process,
XteYt
where
Yt ˆ¼ N(μt, σ2t)
Consider the definition
Let Xt be a geometric Wiener process, XteYt where Yt ˆ¼ N(μt, σ2t) Consider

And the trivial equality

Let Xt be a geometric Wiener process, XteYt where Yt ˆ¼ N(μt, σ2t) Consider

Using these, calculate the expectation:
E[Xt|Xs,s

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