If (X_{t} sim N(0, t)), calculate the distribution of (left|X_{t} ight|). Calculate (mathbf{E}left|X_{t} ight|) and (Vleft(left|X_{t} ight|

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If $X_{t} \sim N(0, t)$, calculate the distribution of $\left|X_{t}\right|$. Calculate $\mathbf{E}\left|X_{t}\right|$ and $V\left(\left|X_{t}\right|\right)$.

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Quantitative Finance

ISBN: 9781118629956

1st Edition

Authors: Maria Cristina Mariani, Ionut Florescu

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Question Posted: Apr 20, 2024 05:57 AM

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If (X_{t} sim N(0, t)), calculate the distribution of (left|X_{t} ight|). Calculate (mathbf{E}left|X_{t} ight|) and (Vleft(left|X_{t} ight|

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Quantitative Finance

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