Question: Please Read the screenshot and answer the following question. Problem 6.4 (10 points) Let (Bt)to be a standard Brownian motion. Define the process Mt =

Please Read the screenshot and answer the following question.

Problem 6.4 (10 points) Let (Bt)to be a standard Brownian motion. Define the process Mt = maxo 0, that is, the maximum value of the Brownian motion (Bt)tzo on [0, t]. (a) Show that the joint cumulative distribution function of (Mt, Bt) is given by F(Mt, Bt) (m, x) = P[Mt 0, m > 0, x 0, x

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