1. Let a(t) be a Brownian Motion with variance (sigma^2)=1 Find: a) P2 (B (5) — B(2) 2, B(3) 2. Find expected value and variance of 3gE3t)+5 if X0 = —1 and variance (sigma.^2)=9

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1. Let a(t) be a Brownian Motion with variance (sigma^2)=1 Find: a) P2 (B (5) — B(2) < 3)="" b)="" eo(b(2)b="" (5))="" c)="" pi="" (b="" (1)=""> 2, B(3)
2. Find expected value and variance of 3gE3t)+5 if X0 = —1 and variance (sigma.^2)=9

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Answered Same DayDec 26, 2021

Answer To: 1. Let a(t) be a Brownian Motion with variance (sigma^2)=1 Find: a) P2 (B (5) — B(2) 2, B(3) 2....

Robert answered on Dec 26 2021

110 Votes

Solution:
1.
(a)
Also for any 0 ≤ sth mean 0 and
variance t − s, i.e., for any a ( ( ) ( ) )

√ ( )
∫

( )
( )
Substituting the values given in problem statement:
( ( ) ( ) )

√
∫ ...

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1. Let a(t) be a Brownian Motion with variance (sigma^2)=1 Find: a) P2 (B (5) — B(2) 2, B(3) 2. Find expected value and variance of 3gE3t)+5 if X0 = —1 and variance (sigma.^2)=9

Answer To: 1. Let a(t) be a Brownian Motion with variance (sigma^2)=1 Find: a) P2 (B (5) — B(2) 2, B(3) 2....

Answer To This Question Is Available To Download

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