This question has been causing me and some friends a huge headache. For part a) we're convinced that 0 must be the trivial solution, but then part b) is completely independent of alpha which is unsettling. Part c) is a disaster as I can't even simplify my expression for < X > beyond Ito's isometry, let alone see why it is the same for both solutions, or prove anything meaningful about tau. Any help would be much appreciated.