Let Z(t) denote the standard Brownian process. Show that (a) dZ(t) 2+n = 0, for any positive
Question:
Let Z(t) denote the standard Brownian process. Show that
(a) dZ(t)2+n = 0, for any positive integer n,
(b)
for any positive integer n,
(c) E[Z4(t)] = 3t2,
(d) E[eαZ(t)] = eα2t/2.
Transcribed Image Text:
S to Z(t)" dz(t) = 1 n+1 n - 2 -[Z(t₁)"+¹ — Z(to)"+¹] ["z(t)"-1 dt, to
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