Let X(t), t2 0; denotes the Brownian motion process with drift and variance parameters, μ and o², respectively. Then prove that Var(X(t) — X(0)) = to² as the time unit A → 0.

Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter6: The Trigonometric Functions
Section6.6: Additional Trigonometric Graphs
Problem 77E
icon
Related questions
Question
Q.3 Let X(t), t≥ 0; denotes the Brownian motion process with drift and variance parameters, μ
and o², 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 o², respectively. Then prove that Var(X(t)- X(0)) = to² as the time unit A → 0.
Expert Solution
steps

Step by step

Solved in 2 steps with 2 images

Blurred answer
Recommended textbooks for you
Algebra & Trigonometry with Analytic Geometry
Algebra & Trigonometry with Analytic Geometry
Algebra
ISBN:
9781133382119
Author:
Swokowski
Publisher:
Cengage
Calculus For The Life Sciences
Calculus For The Life Sciences
Calculus
ISBN:
9780321964038
Author:
GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:
Pearson Addison Wesley,