t X(t), t2 0; denotes the Brownian motion process with drift and variance parameters, μ do2, respectively. Then prove that Var (X(t) - X(0)) = to² as the time unit A → 0.

A First Course in Probability (10th Edition)
10th Edition
ISBN:9780134753119
Author:Sheldon Ross
Publisher:Sheldon Ross
Chapter1: Combinatorial Analysis
Section: Chapter Questions
Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...
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Q.3 Let X(t), t≥ 0; denotes the Brownian motion process with drift and variance parameters, μ
and 2, respectively. Then prove that Var(X(t) - X(0)) = to² as the time unit A → 0.
Transcribed Image Text:Q.3 Let X(t), t≥ 0; denotes the Brownian motion process with drift and variance parameters, μ and 2, respectively. Then prove that Var(X(t) - X(0)) = to² as the time unit A → 0.
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