Questions related to Brownian motion, a continuous stochastic process denoted by $W_t$, $t\geq 0$, with independent increments, such that $W(t)-W(s)$ is normally distributed, with $0$ mean and variance $t-s$.

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Integral of Brownian motion is Gaussian?

Let $(W_t)$ be a standard Brownian motion, so that $W_t \sim N(0,t)$. I'm trying to show that the random variable defined by $Z_t = \int_0^t W_s \ ds$ is a Gaussian random variable, but have not ...
9
votes
2answers
624 views

Joint moments of Brownian motion

My approach to this SE question uses the following joint moments of Brownian motion. For $n=1,2$ they are obvious and well-known, the others are not terribly hard to work out. Is there a reference ...
4
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3answers
583 views

Wiener Process $dB^2=dt$

Why is $dB^2=dt$? Every online source I've come across lists this as an exercise or just states it, but why isn't this ever explicitly proved? I know that $dB=\sqrt{dt}Z$, but I don't know what ...
8
votes
1answer
587 views

Calculate $\mathbb{E}(W_t^k)$ for a Brownian motion $(W_t)_{t \geq0}$ using Itô's Lemma

Show by using Ito's Lemma, for $k \geq 2$ the following result hold. $$E[W(t)^k] = \frac{1}{2} k(k-1)\int_0^t E[W(s)^{k-2}]ds$$ where $W(t) = N(0,t)$ is standard Brownian motion. I think ...
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4answers
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Showing that Brownian motion is bounded with non-zero probability

How do you show, that for every bound $\epsilon$, there is a non-zero probability that the motion is bounded on a finite interval. i.e. $$\mathbb{P} (\sup_{t\in[0,1]} |B(t)| < \epsilon) > 0$$ I ...
6
votes
2answers
405 views

Laplace transform of integrated geometric Brownian motion

Is there any closed form of the Laplace transform of an integrated geometric Brownian motion ? A geometric Brownian motion $X=(X_t)_{t \geq 0}$ satisifies $dX_t = \sigma X_t \, dW_t$ where ...
7
votes
1answer
143 views

Must $n$ independent Wiener processes be simultaneously positive at some time?

Consider $n$ independent one-dimensional Wiener processes $(W_i)_{1\leqslant i\leqslant n}$. Is there with probability $1$ some time $t\in[0,1]$ such that $W_i(t)>0$ for every $1\leqslant ...
5
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0answers
118 views

proving equalities in stochastic calculus

I am struggling with this question: FIRST PART (almost done, but stuck somewhere): Let $Z $~$ N(0,1)$ be a standard normal random variable, and define a function $F$ by the formula \begin{equation} ...
5
votes
2answers
631 views

Dominated convergence problems with Wald's identity for the Brownian Motion

In the course of proving Wald's second identity $E(B^2_T)=E(T)$, where $(B_t)_{t\geq0}$ is the Brownian motion and $T$ is a stopping time with $E(T)<\infty$, I got stuck with the following problem. ...
2
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2answers
383 views

First hitting time for a brownian motion with a exponential boundary

Let $B_t$ be the standard Brownian Motion. Is the distribution/density of the first hitting time of $B_t$ for an exponential decaying boundary known? Trying to be more formal, if ...
4
votes
1answer
187 views

Applying Ergodic Theorem on fractional Brownian motion

For a fractional Brownian motion $B_H$ consider the sequence for $p>0$ $$Y_{n,p}={1\over n}\sum\limits_{i=1}^n \left|B_H(i)-B_H(i-1)\right|^p.$$ By the Ergodic Theorem it is ...
2
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1answer
62 views

Is $(B_t^2)$ Markov where $(B_t)$ is Brownian motion?

I am pretty sure $(B_{t}^{2})$ not Markov because the squared random walk is not. Showing the square of a Markov process is or isn't Markov I guess I can repeat the method since to be Markov it ...
2
votes
2answers
185 views

conditional expectation of brownian motion

Let $(B_t)_{t\geq 0}$ be a standard Brownian motion in $\mathbb{R}^d$. It is intuitive that, for fixed $s<t<u$ $$\mathbb{E}[B_t\mid \sigma(B_s,B_u)]=B_s+\frac{t-s}{u-s}(B_u-B_s).$$ However, I ...
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1answer
111 views

martingale and stochastic Integral

Let ${W_t}$ be 1 dimension Brownian motion and $X_t:=\exp(t/2)\cos W_t$ $t\in[0,T]$. Show that $X_t$ is martingale. I understood $df(t,W_t)=-\exp(t/2)\sin xdW_t$ , but I don't know why it become ...
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vote
1answer
501 views

Sum of 2 Brownian motions

Let's say, that $B_t$, $t\geq0$ is standard Brownian motion (Wiener process). Let's define process $$X_t=B_t+B_{t^2}\text{, }t\geq0$$ I need to find its variance, covariance, find out if it's ...
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0answers
55 views

What is the intuitive meaning of $K_1, K_2, K_3$ in regards to the conditional density formula derivation in Brownian motion.

In my text, there is a passage that says: "Suppose we require the conditional distribution of $X(s)$ given that $X(t) = B$, where $s < t$. The conditional density is: $$ \begin{align*} f_{s\mid ...
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votes
1answer
59 views

Brownian motion - Hölder continuity

Let $B$ stand for a Brownian motion on a finite interval $[0,1]$. If I am not wrong, I think that there exists a positive constant $c$, such that almost surely, for $h$ small enough , for all $0< t ...
13
votes
3answers
2k views

The Laplace transform of the first hitting time of Brownian motion

Let $B_t$ be the standard Brownian motion process, $a > 0$, and let $H_a = \inf \{ t : B_t > a \}$ be a stopping time. I want to show that the Laplace transform of $H_a$ is ...
7
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1answer
322 views

Definition of the Brownian motion

The way I understood the definition of a Brownian motion $B_t$ in $\mathbb R$ is that it consists of two parts: We first define the finite-dimensional distributions $$ ...
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1answer
1k views

Quadratic variation of Brownian motion and almost-sure convergence

Say that $W(t)$ is a Brownian motion. The quadratic variation $[W,W](t)$ is defined in terms of a partition $\Pi = \{0 = t_0 < t_1 < \cdots < t_n = t\}$ by $$ \begin{split} [W,W](t) &= ...
5
votes
1answer
361 views

$\int_0^tB_s^2\ dB_s$ - Gaussian Process and independent increments?

For $(B_t)_{t\ge0}$ a standard Brownian motion (Wiener process) define the stochastic process $X_t:=\int_0^tB_s^2\ dB_s$. I am currently trying to assess if $(X_t)_{t\ge0}$ is a Gaussian process and ...
11
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2answers
269 views

A planar Brownian motion has area zero

I'm looking for proofs of Paul Lévy's theorem that a planar Brownian motion has Lebesgue measure $0$. I know of only two proofs: one is in Lévy's original paper (Théorème 12, p. 532) and the other is ...
8
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2answers
549 views

Sobolev meets Wiener

Even though the Wiener process (Brownian motion) is continuous, it has no derivative at any point. Does it at least have weak derivatives?
2
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1answer
933 views

Distribution of Brownian motion

How would I go about finding the distribution of $B(u) + B(u+v)$ where $u+v > u$? I know that both $B(u)$ and $B(u+v)$ are normal random variables. The sum of two normal random variables is also ...
6
votes
0answers
391 views

Hölder Continuity of Fractional Brownian Motion

I would like to prove the following theorem: Let $H\in (0,1)$. The fractional Brownian motion $B_H$ admits a version whose sample paths are $a.s.$ Hölder continuous of order strict less than $H$. ...
4
votes
1answer
292 views

beginner's question about Brownian motion

I have just started learning about stochastic processes and I am confused with the notion of Brownian motion. The text defines (linear) Brownian motion under measure $\mathbb{P}$ as $B=(B_t; t\geq 0)$ ...
4
votes
0answers
160 views

Using a laplace type expansion to get bounds on an integral arising in the study of Brownian motion

Let $ 0 < r < 1$, fix $x > 1$ and consider the integral $$ I_{r}(x) = \int_{1}^{\infty} \exp\left( - \frac{x^2}{2y^{2r}} - \frac{y^2}{2}\right) \frac{dy}{y^r}.$$ In the investigation of ...
4
votes
1answer
613 views

Brownian hitting time of a _very_ simple linear boundary

I realize that general results on the hitting times of a curve are practically nonexistant, but I am hoping that someone can string together a sequence of tricks to tell me what $$ \Pr\left( ...
3
votes
1answer
92 views

Is the graph of a Brownian motion over an interval measurable?

Let $n \in \mathbb{N}_1 := \{1, 2, \dots\}$ and let $B:\Omega \times [0, \infty) \rightarrow \mathbb{R}^n$ be a standard, $n$-dimensional Brownian motion over the probability space $(\Omega, ...
2
votes
1answer
190 views

How to show that $X_t = \frac{1}{\left| B_t -x\right|}\mathbb{1}_{\left\{ B_t \neq x\right\}}$ (“inverse brownian”) is a martingale?

Consider $$X_t = \frac{1}{\left| B_t -x\right|}\mathbb{1}_{\left\{ B_t \neq x\right\}}$$ where $ \left(B_{t }\right)_{t \geq 0}$ is a $ \mathcal F_t$- brownian motion in $\mathbb R ^3$, null at ...
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vote
1answer
106 views

Brownian Motion with Optional Stopping Theorem (OST)

Let $(B_t)_{t \geq 0}$ be a standard Brownian Motion and let $T:=\inf\{t \geq 0: B_t=at-b\}$ for some positive constant $a,b>0$. Calculate $\mathbb{E}[T]$. How do i begin it?
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vote
2answers
65 views

$4^{Brownian(t)}$ martingale proof

Let $B(t)$ a Brownian motion. I like to prove that $4^{B(t)}$ = martingale I rewrote the expression into an exponential form (like $\exp(\ln(4) B)$), but then I don't know how to proceed.
1
vote
1answer
57 views

Is filtration necessary for continuous random variables?

Define $(\mathscr{F}_t)_{t\geq 0}$ being the natural filtration induced by the Brownian motion $(B_t)_{t\geq 0}$. That is $$\mathscr{F}_t=\sigma(B_s\mid 0\leq s\leq t), \forall t\geq 0,$$ i.e. ...
6
votes
2answers
345 views

Confidence band for Brownian Motion with uniformly distributed hitting position

Let $(B_t)$ denote the standard Brownian motion on the interval $[0,1]$. For a given confidence level $\alpha \in (0,1)$ a confidence band on $[0,1]$ is any function $u$ with the property that $$ ...
4
votes
0answers
144 views

Time scaling of Brownian motion

Let $(B_t)_{t\geq 0}$ be a standard Brownian motion and $A_t$ be an increasing continuous process adapted to the filtration generated by the Brownian Motion and $A_0 = 0$. I am trying to prove ...
4
votes
1answer
1k views

Expectation of Stopping Time w.r.t a Brownian Motion

How do you take the expectation of a stopping time with respect to a Brownian motion? The specific question is: $$ \tau = \inf\{ t \ge 0: B(t) \in \{-a, b\}\} $$ I understand the optional stopping ...
4
votes
1answer
1k views

Expectation value of a product of an Ito integral and a function of a Brownian motion

this problem has come up in my research and is confusing me immensely, any light you can shed would be deeply appreciated. Let $B(t)$ denote a standard Brownian motion (Wiener process), such that the ...
3
votes
1answer
79 views

Determine the distribution of $\int_0^t (W_s-\frac{s}{t}W_t) ds$, where $(W_s)_{s\geq 0}$ is a brownian motion

I have to find the distribution of $X_t:=\int_0^t (W_s-\frac{s}{t}W_t) ds$ where $(W_s)_{s\geq 0}$ is a brownian motion. I already showed the first integral $\int_0^t W_s ds$ is ...
3
votes
2answers
317 views

Is the condition “sample paths are continuous” an appropriate part of the “characterization” of the Wiener process?

Wikipedia has separate articles on "Brownian motion" and "Wiener process" (http://en.wikipedia.org/wiki/Brownian_motion and http://en.wikipedia.org/wiki/Wiener_process ). I am not an expert, but that ...
3
votes
1answer
650 views

Partial Derivative of an Integral

If $f(t)$ is a deterministic function of $t$ and $B_{n}$ is a brownian motion and: $Z =\int^t_0 f(s)dB(s)$ How does one take the partial derivatives wrt to $t$ and $B_n$ on an integral like this? I ...
2
votes
1answer
394 views

Brownian Bridge as a Gaussian Process

Let $B=\{B_t:t\geq 0\}$ be a standard Brownian motion. Define the Brownian brige $X=\{X_t:t\geq0\}$ as $$ X_t=B_t-tB_1\quad t\in[0,1] $$ Show that $X$ is (i) Gaussian and find its (ii) mean and (iii) ...
2
votes
1answer
103 views

differentiability of brownian motion

for a fixed $t \in [0, \infty)$, I have to show that $ \mathbb{P} (D^+W_t = + \infty$ and $D_+W_t = -\infty )$, where $D^+$ (and $D_+$) denotes the upper right-hand derivative (and respectively the ...
2
votes
1answer
87 views

Two Questions about Brownian Motion

How do you show $B_T\in\mathcal{F}_T$ for T is a stopping time? Note the filtration is generated by the Brownian motion (and not necessarily completed, in particular, ...
2
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0answers
124 views

Independence of Brownian motion-related stopping times

Let $(B_t,\mathcal{F}_t)_{t \geq 0}$ a Brownian motion on a probability space $(\Omega,\mathcal{A},\mathbb{P})$. For $a \in \mathbb{R}$ define a stopping time $\tau_a$ by $$\tau_a := \tau(a) := ...
2
votes
2answers
128 views

Relation between $\text{d}M_t$ and $\text{d}B_t$ when $M_t=\max_{0\leq s\leq t}B_s$

Let $B_t$ be a standard Wiener motion. What can we say about $\text{d}M_t$ and $\text{d}B_t$ when $M_t=\max_{0\leq s\leq t}B_s$? Is there a relation?
2
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2answers
421 views

Expectation regarding Brownian Motion

This is a formula regarding getting expectation under the topic of Brownian Motion. \begin{align} E[W(s)W(t)] &= E[W(s)(W(t) - W(s)) + W(s)^2] \\ &= E[W (s)]E[W (t) - W (s)] + E[W(s)^2] \\ ...
2
votes
1answer
440 views

Expectation of exponential martingale and indicator function.

Let $W$ be a Wiener process, $r,\sigma \in \mathbb{R}_+$ and $S(T) = S(t)e^{(r-\frac12 \sigma^2)(T-t) + \sigma(W(T)-W(t))}$. I want to evaluate $$A:=E[e^{- \frac12 \sigma^2 (T-t) - ...
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0answers
45 views

fractional Brownian motion is not a semimartingale. How to apply Ergodic theorem in the proof of this theorem?

Here is the proof of the theorem. I couldn't understand how to apply Ergodic theorem in this proof. Let $X=(X_t)_{t\geq0}$ be a fractional Brownian motion with self-similar parameter $H\in(0,1)$. We ...
1
vote
1answer
49 views

Covariance of m-fold integrated Wiener process

The problem I'm trying to perform a Bayesian approach to the Maximum Likelihood Estimation procedure of Wecker and Ansley (1983). To this end, I need to compute the full likelihood of the data given ...
1
vote
0answers
45 views

$E[e^{\lambda X_t}|\mathcal{F_s}]$, where $X_t=\int_0^t(W_s-\frac{s}{t}W_t )ds$

I was trying to compute $E[e^{\lambda X_t}|\mathcal{F_s}]$, where $X_t=\int_0^t(W_s-\frac{s}{t}W_t) ds$, $\mathcal{F}$ is associated to $W$. I tried the following. 1) Splitting the integral ...