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Question 1 (35 points in total): 1a. (10 points) Apply Ito's lemma to write the differential form for VtB4 where B+ is a standard Brownian

Question 1 (35 points in total): 1a. (10 points) Apply Ito's lemma to write the differential form for VtB4 where B+ is a standard Brownian motion. Is VTB; a martingale? Explain. 1b. (10 points) Suppose that the process X4 = B; at B4 is a martingale where B+ is a standard Brownian motion. Find a and calculate E[Xt|Fs], s

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