Question: Please answer the question below: Problem 2. Girsanov's theorem Let (W.) be a Brownian Motion under some measure P. We consider the process X =

Please answer the question below:

Problem 2. Girsanov's theorem Let (W.) be a Brownian Motion under some measure P. We consider the process X = (a) Under the measure P, find E[X ] and Var(X,). (b) Under the measure P, express P(W

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