Let (B_{t}) be a standard Brownian motion started at 0 . Use that for any function (f)
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Let \(B_{t}\) be a standard Brownian motion started at 0 . Use that for any function \(f\) we have:
\[\mathbf{E}\left[f\left(B_{t}\right)\right]=\frac{1}{\sqrt{2 \pi t}} \int_{-\infty}^{\infty} f(x) e^{-\frac{x^{2}}{2 t}} d x\]
to calculate:
\[\mathbf{E}\left[B_{t}^{2 k}\right]\]
for some \(k\), an integer. As a hint, you may want to use integration by parts and induction to come up with a formula for \(\mathbf{E}\left[B_{t}^{2 k}\right]\).
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Related Book For
Quantitative Finance
ISBN: 9781118629956
1st Edition
Authors: Maria Cristina Mariani, Ionut Florescu
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