. Let AW= W{i + At) - W(t) be an increment in a standard Wiener process. Examine...
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. Let AW= W{i + At) - W(t) be an increment in a standard Wiener process.
Examine the limits as A/ ^ 0 of (i) E[A fL], (ii) Var[AfL], (iii) E[AfL/A/], and (iv) Var[AH//A/] to provide an indication that W has continuous but not differentiable sample paths.
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Related Book For
Elementary Applications Of Probability Theory
ISBN: 9780367449056
2nd Edition
Authors: Henry C. Tuckwell
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