Can someone help me with this, i need to find the distribution of

W_0 + W_2 - W_3 + 2W_4 where W is the standard weiner process

Any help would be greatly appreciated thanks.

Printable View

- Sep 23rd 2007, 03:08 AMBruceBronsonbasic weiner process
Can someone help me with this, i need to find the distribution of

W_0 + W_2 - W_3 + 2W_4 where W is the standard weiner process

Any help would be greatly appreciated thanks. - Sep 23rd 2007, 07:04 AMCaptainBlack
Look at the definition of a Wiener Process then:

Group the terms together into non-overlapping time pairs:

.........

.........

Then the three bracketed terms are zero mean Guassian distributed and independent,

with variances 4, 1 and 2. So the required distribution is Gaussian with mean and

variance

RonL