Consider a Probability Density Function (PDF) 1/2 (X, – X7)² 2g(T)² f'TF(T – t)h(t)]² dt/ 1 P(Xr,T; Xq, 0) = exp (2ng(T)² S'IF(T – t)h(t)]² dt, where f(T – t) is a general function, g(T) and h(t) are time-dependent functions. (a) Calculate the first moment of the PDF (b) Calculate the second moment of the PDF (c) Calculate the variance.

Elementary Linear Algebra (MindTap Course List)
8th Edition
ISBN:9781305658004
Author:Ron Larson
Publisher:Ron Larson
Chapter5: Inner Product Spaces
Section5.CR: Review Exercises
Problem 62CR
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Consider a Probability Density Function (PDF)
1/2
(Xo – Xr)²
2g(T)² S,If(T – t)h(t)]² dt/
1
P(Xr,T; Xo,0) =
exp
2ng(T)² S,"If(T – t)h(t)]² dt,
where f(T – t) is a general function, g(T) and h(t) are time-dependent
functions.
(a) Calculate the first moment of the PDF
(b)Calculate the second moment of the PDF
(c) Calculate the variance.
Transcribed Image Text:Consider a Probability Density Function (PDF) 1/2 (Xo – Xr)² 2g(T)² S,If(T – t)h(t)]² dt/ 1 P(Xr,T; Xo,0) = exp 2ng(T)² S,"If(T – t)h(t)]² dt, where f(T – t) is a general function, g(T) and h(t) are time-dependent functions. (a) Calculate the first moment of the PDF (b)Calculate the second moment of the PDF (c) Calculate the variance.
Calculate the variance of an ordinary Brownian Motion
Transcribed Image Text:Calculate the variance of an ordinary Brownian Motion
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