b) Given that

µ
=3 ,
6<=9 , 1=0.1 and ✗ to ) =
10

let ✗ (t) t 30 be Brownian motion

process
a
,
:P is
given by
F-
2- fi +
Irs )
=
3×4+3-0.4
= 0.5×(1 + 0.3162)
P =
0 .
6581

the value of the the amount orb with

process
either increases
by
probability P decreases amount
or
by the 65s with
probability h -

p
var [ ✗ UD is given by
var [✗ (1)] =
(✗( o) -

1) ( 1- ( Lp 1) 2)
-

=
CO
-

1) ( 1 -

(2×0.6581-112)
Var [✗ (D) = 8 .
10018