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Assume that W t (t[0, T]) is a Brownian motion under probability measure P, and a and b are constants. A stochastic process X t

Assume that Wt (t[0, T]) is a Brownian motion under probability measure P, and a and b are constants. A stochastic process Xt is represented as

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(1) Calculate the values of Xt when t=0 and t=T.

(2) Calculate EXt

(3) Assume that T>t >s >0calculate EXtXs.

Xt=a+T(ba)t+WtTtWT Xt=a+T(ba)t+WtTtWT

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