Infinite Actuary Sample Exam 2 #1

[BJWhitti]

A stock follows the following Ito process:

dS = 0.17 S dS + 0.4 S dZ

What is the probability that the stock falls more than 10% in a given year?

(A) 0.65
(B) 0.67
(C) 0.69 (Correct Answer)
(D) 0.71
(E) 0.73

Could someone please help walk me through this problem? I'm having a lot of trouble with Brownian Motion and Ito's Lemma.

Thanks!