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.
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