Let B(t), t ? 0 be standard Brownian Motion. For 0

Question

Let B(t), t ? 0 be standard Brownian Motion. For 0 &lt; t &lt; 1, the conditional distribution of B(t)

Sri K · Accepted Answer

First, we know that B(t) is a standard Brownian motion, which means it is a Gaussian process wit

Let {B(t), t ? 0} be standard Brownian Motion. For 0 < t < 1, the conditional distribution of B(t) given B(1) = x is gaussian with mean and variance (?, v) given by: (A) (0, t) (B) (x / (1 + t^2), 1 - t) (C) (0, 1) (D) (x, 1 - t) (E) (xt, t)