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Exercise 3 (“Brownian Bridge”). Let Y₁ = [B₁|B₁ = 0], t € [0, 1]. Recall Y₁ ~ N(0 · 1/3, 1/4 (t 1)) = N(0, t(1 – t)). This suffices to show that Y, is not a BM. Consider for s

Exercise 3 (“Brownian Bridge”). Let Y₁ = [B₁|B₁ = 0], t € [0, 1]. Recall Y₁ ~ N(0 · 1/3, 1/4 (t 1)) = N(0, t(1 – t)). This suffices to show that Y, is not a BM. Consider for s

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Exercise 3 ("Brownian Bridge"). Let Y₁ = [B₁|B₁ = 0], t = [0, 1]. Recall Y₁ ~ N(0·½, ½(t- 1)) = N(0, t(1 – t)). This suffices to show that Y, is not a BM. Consider for s < t Cov(Ys, Yt) = E(Y,Yt) = E[B,Bt|B₁ = Exercise. = 0]
Transcribed Image Text:Exercise 3 ("Brownian Bridge"). Let Y₁ = [B₁|B₁ = 0], t = [0, 1]. Recall Y₁ ~ N(0·½, ½(t- 1)) = N(0, t(1 – t)). This suffices to show that Y, is not a BM. Consider for s < t Cov(Ys, Yt) = E(Y,Yt) = E[B,Bt|B₁ = Exercise. = 0]
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