Let X(t) = μt + σB(t) be a standard Brown motion Show that: Cov(X(s), X(t)) =...

Question

Question

Let X(t) = μt + σB(t) be a standard Brown motion

Show that:

Cov(X(s), X(t)) = σ² min(s, t)

Answer 1

Answer #1

To prove teat Cov (xeo, xlo min ( s,) wsing indep inevent have 2. From bot, g , we get his i called Covariance functian of Bv

Answer 2

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