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18. Let Z(t) = X(t)- aX(t-s) where X(t) is the Wiener process. (a) Find the pdf of y(t). (b) Find mean and autocovariance functions.

18. Let Z(t) = X(t)- aX(t-s) where X(t) is the Wiener process. (a) Find the pdf of y(t). (b) Find mean and autocovariance functions.

Linear Algebra: A Modern Introduction
Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter4: Eigenvalues And Eigenvectors
Section4.6: Applications And The Perron-frobenius Theorem
Problem 69EQ: Let x=x(t) be a twice-differentiable function and consider the second order differential equation...
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18. Let Z(t) = X(t) - aX(t-s) where X(t) is the Wiener process. (a) Find the pdf of y(t). (b) Find mean and autocovariance functions.
Transcribed Image Text:18. Let Z(t) = X(t) - aX(t-s) where X(t) is the Wiener process. (a) Find the pdf of y(t). (b) Find mean and autocovariance functions.
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