Let (w in mathcal{C}_{(0)}[0,1]). Find the densities of the following bi-variate random variables: a) (left(int_{1 / 2}^{t}
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Let \(w \in \mathcal{C}_{(0)}[0,1]\). Find the densities of the following bi-variate random variables:
a) \(\left(\int_{1 / 2}^{t} s^{2} d w(s), w(1 / 2)ight)\) for \(1 / 2 \leqslant t \leqslant 1\);
b) \(\left(\int_{1 / 2}^{t} s^{2} d w(s), w(u+1 / 2)ight)\) for \(0 \leqslant u \leqslant t / 2,1 / 2 \leqslant t \leqslant 1\);
c) \(\left(\int_{1 / 2}^{t} s^{2} d w(s), \int_{1 / 2}^{t} s d w(s)ight)\) for \(1 / 2 \leqslant t \leqslant 1\);
d) \(\left(\int_{1 / 2}^{1} e^{s} d w(s), w(1)-w(1 / 2)ight)\).
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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
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