Question
Let W(t) be a standard Wiener process and let X(t) be defined as X(t) = W(t) tW(1), 0 t 1. 1. Calculate, E[X(t)], the expectation
Let W(t) be a standard Wiener process and let X(t) be defined as
X(t) = W(t) tW(1), 0 t 1.
1. Calculate, E[X(t)], the expectation of Z(t).
2. Give the expression of E[X(t)X(s)].
3. Give the expression of the variance of X(t).
4. Is X(t) a WSS process? Is X(t) a strict stationary process? Justify your answers.
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Intermediate Microeconomics
Authors: Hal R. Varian
9th edition
978-0393123975, 393123979, 393123960, 978-0393919677, 393919676, 978-0393123968
