Question: LetX(t),t0 be a Brownian motion process with drift parameter =3 and variance parameter ^2 =16 If X(0)=17 find E[X(2)] Var(X(2)); P(X(2)>20) P(X(0,5)>10)

LetX(t),t0 be a Brownian motion process with drift parameter

=3

and variance parameter

^2 =16

If

X(0)=17

find

  1. E[X(2)]
  2. Var(X(2));
  3. P(X(2)>20)
  4. P(X(0,5)>10)

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