Variables X 1 and X 2 follow generalized Wiener processes with drift rates 1 and
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Variables X1 and X2 follow generalized Wiener processes with drift rates μ1 and μ2 and variances σ12 and σ12. What process does X1 + X2 follow if:
(a) The changes in and in any short interval of time are uncorrelated?
(b) There is a correlation between the changes in and in any short interval of time?
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a Suppose that X 1 and X 2 equal a 1 and a 2 initially After a time p...View the full answer
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