Question: Question 6 Consider a process X1: = B; + ACt). where B is a standard Brownian motion and A(t)a given deterministic function. Prove that X;-

Question 6 Consider a process X1: = B; + ACt). where B is a standard Brownian motion and A(t)a given deterministic function. Prove that X;- is not in general a process with independent time homogeneous increments. What conditions must hold for A(t), for X: to have independent increments? What conditions must hold for A(t), for X; to have time homogeneous increments? (20)

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