Probability Theory 2

1. Feb 5, 2008

Milky

1. The problem statement, all variables and given/known data

An individual traveling on the real line is trying to reach the origin. However, the larger the desired step, the greater is the variance in the result of that step. Specifically, whenever the person is at location x, he next moves to a location having mean 0 and variance $$\beta x^2$$. Let $$X_n$$ denote the position of the individual after having taken n steps. Supposing that $$X_0 = x_0$$, find
a. $$E[X_n]$$
b. $$Var(X_n)$$.

I am not sure how to even start this problem, and would really appreciate any suggestions!

2. Relevant equations

3. The attempt at a solution