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Linear Algebra: A Modern Introduction

Linear Algebra: A Modern Introduction

4th Edition

ISBN:9781285463247

Author:David Poole

Publisher:David Poole

Chapter3: Matrices

Section3.7: Applications

Problem 13EQ

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Question

Let (N, F, P) be a probability space. Let {Bt}t>o be a Brownian motion on (N, F,P), and let {Ft}t>o be
the filtration generated by {Bt}t>0•
Question 3: Let o be defined by
te [0, 1)
Bo.5, te [1,2)
B2, te (2,3)
5,
Ot =
0,
t > 3
Let Y be given by
Y =
and let V[Y] denote the variance of Y. Which of the following is correct?
a) V[Y] = 7.5
b) V[Y] = 0
c) V[Y] = 27.5
%3D
d) V[Y] = 56.25
e) I don't know.

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