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Problem 3 (20p) Let Me = So f(s)dWs. (a) (10p) Show that the SDE satisfied by Xt = 0Mi -402 fo f (s)2ds is dXt

Problem 3 (20p) Let Me = So f(s)dWs. (a) (10p) Show that the SDE satisfied by Xt = 0Mi -402 fo f (s)2ds is dXt = of(t) X dW. (b) (10p) Show that My ~ N(0, So f(s)2ds)

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