Tagged Questions
1
vote
2answers
68 views
Standard Brownian Motion
Let $\{X_t,t\ge 0\}$ be a standard Brownian motion. Compute the density of $X_t$ conditioned by $X_{t_1}$ and $X_{t_2}$ assuming that $t_1 <t<t_2$.
Can anyone give me some hint to start the ...
0
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0answers
44 views
how to recognize stochastic process among wiener process, log-normal, normal, and mean-reversion
Wiener process (brownian motion), normal distribution, log-normal, and mean-reversion are 4 most frequently used stochastic processes in modelling.
i wonder, given 30-50 sample points, is there a ...
0
votes
0answers
58 views
integral related to Gaussian random variable and Brownian Motion
This integral arises from some work I am doing related to Brownian motion.
The integral of interest is the following
$\int^{\infty}_{t=0}\int^{b}_{x=-\infty}\frac{1}{\sqrt{2\pi ...
1
vote
1answer
71 views
Variable t times a Wiener Process W(1/t)
If $W(t)$ is a Wiener process and $V(t) = t\cdot W(1/t)$ is it possible to say that
Since $W(1/t)\space \sim N(0,1/t)$
that $V(t) \sim t\cdot N(0,1/t)$?
And if so then is $t\cdot N(0,1/t) = ...
