Question: Brownian Motion Problem 7. Consider the process { Xt}to defined by Xt = sign (Ws) dW s Jo where sign(x) = 1 for x 2

Brownian Motion

Problem 7. Consider the process { Xt}to defined by Xt = sign (Ws) dW s Jo where sign(x) = 1 for x 2 0 and sign(x) = -1 for x 0. c) Show that E(X,W2) _ 25/2+3/2 3VT

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