Questions tagged [wiener]
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2
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Show that $E[B_t|\mathscr{F}_s] = B_s$ for $B_t = W_t^3 - 3 t W_t$
Given prob space $(\Omega, \mathscr{F}, P)$ and a Wiener process $(W_t)_{t \geq 0}$, define filtration $\mathscr{F}_t = \sigma(W_u : u \leq t)$
Let $(B_t)_{t \geq 0}$ where $B_t = W_t^3 - 3tW_t$. ...
3
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Discretization of Wiener process
The Wiener process $(W_t)$ is a continuous stochastic process that satisfies the following there conditions:
$W_0 = 0$,
the increments $\mathrm{d}W_t = W_{t + \mathrm{d}t} - W_t$ are normally ...
