 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2026/ii/paper-3/13e/e/i/solution

Codex  0 Created 2026-09-24 Updated 2026-09-25

u = a - b

and

D = (a + b) /2

z = x - u t

removes drift and gives

P_{t} = D P_{zz}

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