Question: Let (left(X_{t} ight)) be a Brownian motion with initial state 0 , drift rate 2 , and variance rate 4. Compute (a) (Pleft[X_{8.2}-X_{4.5} leq 6

Let \(\left(X_{t}\right)\) be a Brownian motion with initial state 0 , drift rate 2 , and variance rate 4.

Compute

(a) \(P\left[X_{8.2}-X_{4.5} \leq 6\right]\);

(b) \(P\left[X_{1} \leq 3, X_{2}>4\right]\).

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