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A company's wealth, measured in millions of Gils, is assumed to follow an arithmetic Brownian motion, so that for all t 0 Xt = Xo+pt+oWt,
A company's wealth, measured in millions of Gils, is assumed to follow an arithmetic Brownian motion, so that for all t 0 Xt = Xo+pt+oWt, = with coefficients 10 Gils.month-, o = 1000 Gils.month-1/2, and where W is a Brownian motion. The current wealth is Xo = 30 million Gils. Give your answers rounded to the nearest integer (e.g. 3). (a) Compute the expected wealth after t = : 2 years. (b) Compute the standard deviation of the wealth after t = 2 years A company's wealth, measured in millions of Gils, is assumed to follow an arithmetic Brownian motion, so that for all t 0 Xt = Xo+pt+oWt, = with coefficients 10 Gils.month-, o = 1000 Gils.month-1/2, and where W is a Brownian motion. The current wealth is Xo = 30 million Gils. Give your answers rounded to the nearest integer (e.g. 3). (a) Compute the expected wealth after t = : 2 years. (b) Compute the standard deviation of the wealth after t = 2 years
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