Consider a Probability Density Function (PDF) 1/2 (Xo – Xr)² 2g(T)² S,If(T – t)h(t)]² dt/ 1 P(Xr,T; Xo,0) = exp 2ng(T)² S,"If(T – t)h(t)]² dt, where f(T – t) is a general function, g(T) and h(t) are...

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Extracted text: Consider a Probability Density Function (PDF) 1/2 (Xo – Xr)² 2g(T)² S,If(T – t)h(t)]² dt/ 1 P(Xr,T; Xo,0) = exp 2ng(T)² S,"If(T – t)h(t)]² dt, where f(T – t) is a general function, g(T) and h(t) are time-dependent functions. (a) Calculate the first moment of the PDF (b)Calculate the second moment of the PDF (c) Calculate the variance.


Extracted text: Calculate the variance of an ordinary Brownian Motion