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Consider a standard Brownian motion{W(t), t0}at times 0 < u < u+v < v+v+w, whereu, v, w >0. (a) Evaluate the product momentE(W(u)W(u+v)W(u+v+w)). (b) Find
- Consider a standard Brownian motion{W(t), t0}at times 0< u < u+v < v+v+w, whereu, v, w >0.
(a) Evaluate the product momentE(W(u)W(u+v)W(u+v+w)).
(b) Find the probability distribution ofW(u) +W(u+v) +W(u+v+w).
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Mathematical Analysis And Its Applications Roorkee, India, December 2014
Authors: P N Agrawal, R N Mohapatra, Uaday Singh, H M Srivastava
1st Edition
813222485X, 9788132224853
