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1.1 Let (W+)to be a Wiener process. Show that for 0 < s < t < u the conditional distribu- tion of W given
1.1 Let (W+)to be a Wiener process. Show that for 0 < s < t < u the conditional distribu- tion of W given W, and W is Gaussian N((u-t) Ws+(-s) Wu, 2 (u-t) (t-s)). u-s u-s
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Elementary Statisitcs
Authors: Barry Monk
2nd edition
1259345297, 978-0077836351, 77836359, 978-1259295911, 1259295915, 978-1259292484, 1259292487, 978-1259345296
