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In the following questions, let Bt denote a Brownian motion with B0 = 0.

Let Xt be the solution of SDE dX, = 3X, dt + 2XtdBt and Xo = 1. (a) Write down the SDE for Yt-eatXt, where a is a constant. (

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Ca sant ivenConsi to nd , bue odo nt와 -t 一天.Mt.ds-. 20(k, ω) dmi- Let ⑥ Given Cnaida that

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