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Discuss the properties of the wiener process

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Reference no: EM131550254

Question: Properties of the Wiener process.

(a) Let Var[W(t)] = g(t). Show that, from properties 2 and 3 alone, g(t) must be of the form g(t) = αt.

(b) Show that Var[W(t) - W(s)] = α|t - s|.

Reference no: EM131550254

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