Math 182 Exam 3 1. Let B(t) be a Brownian motion process.

Show that the following are also Brownian motion processes by proving that Cov(X(s) , X(t)) = s for s < t. (a) X(t) = B(t + a) B(a) for fixed a 0 (b) X(t) = tB(1/t); X(0) = 0 (c) X(t) = B(cB(t/c2) for c 0 2. Check whether the following processes are martingales. (a) X(t) = B(t) + 4t (b) X(t) = B2(t) ( ) ( ) (c) ( ) 3. Compute the mean and variance of ( )

4. Use Itos formula to write the following stochastic processes X(t) in the standard form dX(t) = H(t)dt + K(t)dB(t) for suitable choices of u and v. ( ) (a) ( ) ( ) ) (b) ( ) ( ( ) 5. Use Itos formula to prove that

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