Question: (4) Let (, F, P) be the underlying probability space. Let W be a SBM. Define a process Y by YtW/t, t> 0, Yo=0.

(4) Let (, F, P) be the underlying probability space. Let W

(4) Let (, F, P) be the underlying probability space. Let W be a SBM. Define a process Y by YtW/t, t> 0, Yo=0. a. 3 pts Compute the covariance Cov(Ys, Y7). What is the distribution of the random variable (Ys, Y7)? b. 2 pts Verify whether process e(Y:-), t0, is a MTG with respect to the natural filtration of Y. c. 1 pts Compute E(Y5|F3) and E(Y3|F5), where (Ft, t 0) is the natural filtration of Y.

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