Working on a problem that I'm having some trouble starting. I have $X_t = 2t + 3B_t$ for $t \ge 0$ where $B_t$ is a Brownian Motion. I want to find the marginal distribution of $X_t$, as well as $E(X_s * X_t)$ for $s < t$. I'm pretty sure for the marginal distribution I need to apply Ito's formula, but I'm not exactly sure where to do this. Any help appreciated, thanks!
2026-03-27 05:55:57.1774590957
Marginal Distribution of Diffusion Process
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