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Let (Bt)t>=0 be a standard Brownian motion. We define the stochastic process (Xt)t>=0 via Xt = e ^(-t)*Be^t (t > 0). (a) Show that (Xt)t>=0
Let (Bt)t>=0 be a standard Brownian motion. We define the stochastic process (Xt)t>=0 via Xt = e ^(-t)*Be^t (t > 0).
(a) Show that (Xt)t>=0 is a Gaussian process.
(b) Find the mean and covariance functions
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University Physics with Modern Physics
Authors: Hugh D. Young, Roger A. Freedman
14th edition
978-0133977981
