Suppose (X(t))t>o is a standard Brownian motion. Let Y(t) = eX(t). Find (a) E(Y(t)). (b) Cov(Y (s), Y(t)) for all s < t.

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Suppose (X(t)):>0 is a standard Brownian motion. Let Y(t) = ex(t). Find
(a) E(Y(t)).
(b) Cov(Y (s), Y(t)) for all s < t.
Transcribed Image Text:Suppose (X(t)):>0 is a standard Brownian motion. Let Y(t) = ex(t). Find (a) E(Y(t)). (b) Cov(Y (s), Y(t)) for all s < t.
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