Question: Let {Wt} be an SBM and define the process {Bt} by Bt = Wt t*W10/10, t [0, 10]. (a) For t [0,

Let {Wt} be an SBM and define the process {Bt} by Bt = Wt − t*W10/10, t ∈ [0, 10]. 

(a) For t ∈ [0, 10], what is the probability distribution of Bt? 

(b) Fix t ∈ [0, 10] and consider the bivariate random variable X probability distribution of X? Be sure to carefully justify your answer. 

(c) Does the process {Bt} have independent increments? Be sure to carefully justify your answer.

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a The process Bt is a Brownian motion with drift BtWttW1010 By the definition of a Brownian motion B... View full answer

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