Question: Let Xt = Xt-1+Wt for t > 0 and assume Xo = 0. Here, for a given t, wt = a with probability p

Let Xt = Xt-1+Wt for t > 0 and assume Xo =

Let Xt = Xt-1+Wt for t > 0 and assume Xo = 0. Here, for a given t, wt = a with probability p (head) and wt =-a with probability p = 1/2 (tails). This is effectively equivalent to tossing a coin every Ts seconds and take a step up (+a) if heads appear and a step down (-a) if tails appear; hence, wt corresponds to an IID Bernoulli process. Obtain the mean and variance of X. Is the process {X} stationary? 1/2

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