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What is the covariance function for $U(t)$ if $U(t) = e^{-t}B(e^{2t})$ for $t \geq 0$ where $B(t)$ is standard Brownian motion.

Thanks for the help!

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anyone else with a solution? please! –  icobes Apr 4 '11 at 3:44

1 Answer 1

http://en.wikipedia.org/wiki/Ornstein%E2%80%93Uhlenbeck_process

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I'm sorry but I don't see how this is relevant in helping me calculate the covariance. Any more help would be appreciated. –  icobes Apr 4 '11 at 2:48
    
@icobes The formula for the covariance is on the Wikipedia page I linked to. –  Byron Schmuland Apr 4 '11 at 2:49

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