Let (W(t), t2 0} be a Brownian motion with drift parameter = 3 and variance pa-...

 

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Let (W(t), t2 0} be a Brownian motion with drift parameter = 3 and variance pa- rameter ²4. Please calculate: (a) E(W(1) |W(3) = 2); (b) P(W(1) < 1W (3) = 2); (c) E(W(1) |W(3) = 2); (d) E(e) |W(3) = 2). Let (W(t), t2 0} be a Brownian motion with drift parameter = 3 and variance pa- rameter ²4. Please calculate: (a) E(W(1) |W(3) = 2); (b) P(W(1) < 1W (3) = 2); (c) E(W(1) |W(3) = 2); (d) E(e) |W(3) = 2).

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a EW1 W3 2 The expected value of W1 given that W32 is equal to the conditional expectation of W1 ... View the full answer