(4) Let \{B(t), t \ge 0\} be a standard Brownian motion. (a) What is the distribution of B(s) + B(t) for s \le t? (b) Find E[B(t)B(s)B(u)] for 0 < t < s < u.
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Therefore, B(s) + B(t) is normally distributed with mean 0 and variance s + t. Show more…
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