Consider a stochastic process described by the stochastic differential equation , where drift and volatility are piecewise constant functions of time (measured in years). For the first three years,  and  for the next three years,

 and. If the initial value of the process is, what is the probability distribution of the value of the process at the end of the six-year period?

Transcribed Image Text:

d.St Ht dt + dWt-