1. (20 points) Let Xi, i = 1,2 be independent random variables that has the following distri- bution: Xi = 1 with probability , and
1. (20 points) Let Xi, i = 1,2 be independent random variables that has the following distri- bution: Xi = 1 with probability , and Xi = 0 with probability ?: Xi DO Define B1 = X1 B2 = X1+ X2 Denote an upward move of X; by + and a downward move by -. Consider the following sample space 1 = {+ + , + - , - + , - - } Let Fi, i = 1,2 be the natural filtration associated with the process Bi
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