Let (X, Gamma sim mathrm{N}(0, t)). Show that - X + I and X ~ N(0, 2t).
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Let \(X, \Gamma \sim \mathrm{N}(0, t)\). Show that
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- X + I and X ~ N(0, 2t).
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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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