The purpose of this problem is to practice the use of Itô formula. We consider the three processes XtW1 and Y1 = = t Ꭶ W2 dw, and Z1 = W1 = 6tW2 + 3t2. (a) Using Itô formula, write X as a sum of integrals. - (b) Find an expression for Y which doesn't involve Itô integrals. (c) Prove that (Z) is a martingale using Itô formula. (d) Find Var(Z1).

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