Exercise 13.1 For a Brownian motion {X(t)} with drift and diffusion coefficient , show that (13.3)

Exercise 13.1 For a Brownian motion {X(t)} with drift μ and diffusion coefficient σ, show that (13.3) holds for any δ > 0. Also, confirm the condition

(13.4) for the cases r = 3 and r = 4.