Verify that (11.3) has covariance Cov` X(s), X(t) ´ = min{s, t} and hence that X(t) is indeed a…

Verify that (11.3) has covariance Cov` X(s), X(t) ´ = min{s, t} and hence that X(t) is indeed a…

Verify that (11.3) has covariance Cov` X(s), X(t) ´ = min{s, t} and hence that X(t) is indeed a standard Brownian motion on [0, ∞).

2. Continuation, the scaled process. For any a>0, show that the process Y(t) = a−1/2X(at) is a standard Brownian motion on [0, ∞).

 

 

 

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