Verify that $E( X(t) X(s) | X(0)=0 ) = min (t, s)$, where $X(t)$ is standard Brownian motion.
I don't know where to start. Thanks!
Hint: if $t > s$, write $X(t) = X(s) + (X(t) - X(s))$.
Sign up using Google
Sign up using Facebook
Sign up using Stack Exchange
By posting your answer, you agree to the
terms of service.
2 years ago
Get the weekly newsletter!
see an example newsletter