Question: 16.9 If Xt N(0, 2t) and Yt = eXt , calculate the pdf of Yt. Calculate E[Yt] and V(Yt). Calculate the transition probability P(Yt

16.9 If Xt ∼ N(0, σ2t) and Yt = eXt , calculate the pdf of Yt. Calculate E[Yt] and V(Yt). Calculate the transition probability P(Yt = y | Yt0 = y0), and give the density of this transition probability.

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