I can't see where I'm going wrong, but I don't get the correct answer.

B(t) is a brownian motion started at 0

where

I want to find

My attempt:

But this is wrong... Why?

Thanks for any help

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- May 26th 2009, 08:50 PMHD09Can someone please troubleshoot this method for me?
I can't see where I'm going wrong, but I don't get the correct answer.

B(t) is a brownian motion started at 0

where

I want to find

My attempt:

But this is wrong... Why?

Thanks for any help - May 29th 2009, 08:45 AMcl85
First you need to observe that regardless of the realization from time 0 to t

And

- May 29th 2009, 04:07 PMHD09
- May 29th 2009, 07:03 PMcl85

Also, both and are positive. - May 29th 2009, 08:44 PMHD09