Use the Lvy-Ciesielski representation (B(t)=sum_{n=0}^{infty} G_{n} S_{n}(t), t in[0,1]), to obtain a series representation for (X:=int_{0}^{1} B(t)

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Use the Lévy-Ciesielski representation $B(t)=\sum_{n=0}^{\infty} G_{n} S_{n}(t), t \in[0,1]$, to obtain a series representation for $X:=\int_{0}^{1} B(t) d t$ and find the distribution of $X$.

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

ISBN: 9783110741254

3rd Edition

Authors: René L. Schilling, Björn Böttcher

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Question Posted: Mar 16, 2024 03:00 AM

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Use the Lvy-Ciesielski representation (B(t)=sum_{n=0}^{infty} G_{n} S_{n}(t), t in[0,1]), to obtain a series representation for (X:=int_{0}^{1} B(t)

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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