Let {Wt} be an SBM and define the process {Bt} by Bt = Wt t*W10/10, t
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Question:
Let {Wt} be an SBM and define the process {Bt} by Bt = Wt − t*W10/10, t ∈ [0, 10].
(a) For t ∈ [0, 10], what is the probability distribution of Bt?
(b) Fix t ∈ [0, 10] and consider the bivariate random variable X probability distribution of X? Be sure to carefully justify your answer.
(c) Does the process {Bt} have independent increments? Be sure to carefully justify your answer.
Related Book For
Probability and Statistics for Engineering and the Sciences
ISBN: 978-1305251809
9th edition
Authors: Jay L. Devore
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