Exercise 2.1 If W1, ...,Wd are correlated Brownian motions, show that Cov {Wj (s),Wk (t)} = Rjk

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Exercise 2.1 If W1, ...,Wd are correlated Brownian motions, show that Cov {Wj (s),Wk (t)} = Rjk min(s, t), s,t≥

0, j,k∈ {1, . . . , d}.

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 06:00 AM

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Exercise 2.1 If W1, ...,Wd are correlated Brownian motions, show that Cov {Wj (s),Wk (t)} = Rjk

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Statistical Methods For Financial Engineering

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