Below, Be is always the standard Brownian process. X and Yt are Ito diffusions with the notation and equivalent Ito integral equations: dXt = u(t, Xt) dt + o(t, Xt) dB dyt = u(t, Yt) dt + o(t, Yt) dB. Xt - Xo = / M(s, X,) ds + o(s, X, ) dB, Yt - Yo = / u(s, Y's) ds + / o(s, Ys) dBs . 2. Evaluate the mean and variance of the integral process for B, ds. Note that this is not a stochastic integral. Compare these to the mean and variance of the stochastic integral: B, dB, = (B? -t) 3. Use Ito's Isometry to evaluate: (a) E[ ( SIB, 13 dB. ) '] (b) E ( S"(B. + 5)2 dB. ) " ] 4. Derive expressions for the following: E[IXt| ], Kxx(t1, t2), E[Xt. Y], Kxy(t1, t2). 5. Use Ito's Formula to derive the SDEs for the following processes