### Stochastic Differential Equations, Density Functions and Random Variables

We use the notation X ~N(μ, σ2) to indicate that the density function for the continuous random variable X, fx(x), has the form .... (a) If X ~N(μ, σ2) show that..... (Hint: you will need to know how to find the density function for X ? μ from the density function for X). (b) If ...., and X1 and X2 a