You are given with a stochastic process for a firms


10. (Extra Credit) Suppose that you are given with a stochastic process for a firm's value such that

where , is a random noise with standard normal distribution, coefficients a, b, c, are all positive constants. Answer the following questions:
a) Is this process Geometric Brownian Motion? Why or why not?
b) Is the firm's value distributed with log-normal distribution? If so, what are the mean and standard deviation of the process? (Hint: apply Ito's lemma).

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Finance Basics: You are given with a stochastic process for a firms
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