Let Wt denote a standard Brownian motion. Evaluate the following expectation
1. Let Wt denote a standard Brownian motion. Evaluate the following expectationE[|Wt+t Wt|],
where | · | denote absolute value.
V [(Wt -Ws)2].
2. Let Wt denote a Brownian motion. Derive the stochastic dierential equation for dXt and
group the drift and diusion coecients together for the following stochastic processes:
(a) Xt = Wt2
(b) Xt =t+eWt
(c) Xt = Wt3 3tWt(d) Xt = et+Wt
(e) Xt = e2t sin(Wt)
(f) Xt =eWt2t
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Let Wt denote a standard Brownian motion. Evaluate the following expectation
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