Variables x1 and x2 follow generalized wiener processes

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Reference no: EM131237420

Variables X1 and X2 follow generalized Wiener processes, with drift rates μ1 and μ2 and variances

What process does X1 + X2 follow if:

(a) The changes in X1 and X2 in any short interval of time are uncorrelated?

(b) There is a correlation ρ between the changes in X1 and X2 in any short time interval?

Reference no: EM131237420

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