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Thread: Gaussian process

  1. #1
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    Gaussian process

    If I have the process $\displaystyle (X_t)_{t\ge0}$, $\displaystyle X_t=(1-t)\int_0^t\frac{dB_s}{1-s}$, $\displaystyle B_s$ is the Brownian motion, how can I show that is a Gaussian process? After this how can I compute its mean and covariance function in the easiest way?
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  2. #2
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    This isn't a Gaussian process, as $\displaystyle X_1=0$ a.s.
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  3. #3
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    The question was for $\displaystyle (X_t)_t$, where $\displaystyle 0\le t<1$, I wrote it wrong in the first post. Thank you for answering.
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