cferguson
12.12.2019 •
Mathematics
(more brownian motion gymnastics) let (bt)t≥0 be a standard brownian motion and fix 0 < t1 < t2.
(a) compute e e −b2 t1 .
(b) compute e[|bt1 |].
(c) compute the joint density fbt1 ,bt2 (x, y).
(d) compute the conditional density fbt2 |bt1 (y | x).
what distribution does it correspond to? (e) compute the conditional density fbt1 |bt2 (x | y). what distribution does it correspond to?
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