Question: If a variable x follows the process dx = b dz where dz is a Wiener process, which of the following is the process followed

If a variable x follows the process dx = b dz where dz is a Wiener process, which of the following is the process followed by y = exp(x).

dy = (y+0.5b2y)dt+by dz

dy = by dz

dy = 0.5b2y dt+(y+by) dz

dy = 0.5by dt+by dz

dy = 0.5b2y dt+by dz

dy = 0.5b2y dt+b dz

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