=+11. Consider a diffusion process Xt with infinitesimal mean (t, x) and infinitesimal variance 2(t, x). If

=+11. Consider a diffusion process Xt with infinitesimal mean μ(t, x) and infinitesimal variance σ2(t, x). If the function f(t) is strictly increasing and continuously differentiable, then argue that Yt = Xf(t) is a diffusion process with infinitesimal mean and variance

μY (t, y) = μ[f(t), y]f

(t)

σ2 Y (t, y) = σ2[f(t), y]f

(t).