More Brownian motion

Printable View

June 10th 2009, 01:40 AM
symmetry7

More Brownian motion

OK guys here's another one for you....

Let ${B}(t)$ and ${W}(t)$ be two independent Brownian motions. Show that ${X}(t)=({B}(t)+{W}(t))/\sqrt{2}$ is also a Brownian motion. Find correlation between ${B}(t)$ and ${X}(t)$ .

Any help will be great.

Thank you.

All times are GMT -8. The time now is 11:21 PM.

Copyright © 2005-2013 Math Help Forum. All rights reserved.

Copyright © 2005-2013 Math Help Forum. All rights reserved.