Let wt be a wiener process and t denote the time. is, Ask an Expert

Statistics

1. Given a wiener processW(t) with parameter α, we form the processes X(t) = W(t²).

Describe that X(t) is normal with mean zero. Furthermore, if t1 x (t1,t2)= αt1²

2. Let W_t be a wiener process and t denote the time. Is stochastic process X_t - 2W_t +t martingale? Describe.

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Statistics and Probability, Statistics

Category:- Statistics and Probability
Reference No.:- M921951

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