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In the following exercises {Bt}t0 is a standard Brownian motion process with respect to the filtration (Ft)t0 and Ta denotes the time it takes
In the following exercises {Bt}t0 is a standard Brownian motion process with respect to the filtration (Ft)t0 and Ta denotes the time it takes this process to hit a. 1. What is the distribution of B + B2? 2. Let (Xt)to be a Brownian motion started at x = 3, i.e, X = 3+ Bt, t 0. Find P(X2 > 0). 3. Given B = 3, find the probability that B3 < 1.
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