Question: (c) Let T = inf {t > 0 : B+ +2t # (-1, 2)}. Find E (Hint: you may use that Be and -4Bt-8t are

(c) Let T = inf {t > 0 : B+ +2t # (-1, 2)}. Find E (Hint: you may use that Be and -4Bt-8t are both martingales). [7 marks] (d) Determine the mean and variance of X = , B- dt (Hint: you may use that E[BA] = 3+2) [8 marks] 4 Suppose

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