Variables X1 and X2 follow generalized Wiener processes, with drift rates and and variances of and o.
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Variables X1 and X2 follow generalized Wiener processes, with drift rates and and variances of and o. What process does X + X2 follow if:
(a) The changes in X, and X2 in any short interval of time are uncorrelated?
(b) There is a correlation p between the changes in X1 and X2 in any short time interval?
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