3.1. Brownian moments. Use the definition of Brownian motion to compute the fol- lowing moments: (a) E[B]. (b) E[(B₁₂ - B₁₁)(Bt3 − B₁₂)] if t₁ < t₂
3.1. Brownian moments. Use the definition of Brownian motion to compute the fol- lowing moments: (a) E[B]. (b) E[(B₁₂ - B₁₁)(Bt3 − B₁₂)] if t₁ < t₂
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![3.1. Brownian moments. Use the definition of Brownian motion to compute the fol-
lowing moments:
(a) E[B{].
(b) E[(B – B1, )(B, – B,)] if t < t, < tz.
(c) E[BB²] if s <t.
(d) E[B,B}] if s < t.
(e) E[B!00B}0'].](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F2532bc8e-4133-4d2f-89a3-cd1d950b09d1%2F00418b19-ad82-47a2-96d5-d24641f790e6%2F9fm7ts5_processed.jpeg&w=3840&q=75)
Transcribed Image Text:3.1. Brownian moments. Use the definition of Brownian motion to compute the fol-
lowing moments:
(a) E[B{].
(b) E[(B – B1, )(B, – B,)] if t < t, < tz.
(c) E[BB²] if s <t.
(d) E[B,B}] if s < t.
(e) E[B!00B}0'].
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