1 Q4. (*) Let W be a Brownian motion without drift. Find the distribution for the following limits:n-1Eg(t,)(W(t+1)- W(t;)),j-0n-1lim w(t,)(g(t+1)-9(t,)),in terms of the integrals of the non-stochastic and integrable function g

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Answered: Q4. (*) Let W be a Brownian motion…

Advanced Engineering Mathematics

10th Edition

ISBN:9780470458365

Author:Erwin Kreyszig

Publisher:Erwin Kreyszig

Chapter2: Second-order Linear Odes

Section: Chapter Questions

Problem 1RQ

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Q4. (*) Let W be a Brownian motion without drift. Find the distribution for the following limits: n-1 lim g(t,)(W(t+1) - W(t,)), n-1 lim w(t,)(g(t+1)-9(t,)), in terms of the integrals of the non-stochastic and integrable function g