Assume that B(t) is a Brownian motion and B(0) = 0. 1. Find the marginal distribution of B(4), B(5) and B(5)B(4), respectively. 2. Find the joint distribution of B(4) and B(5), and compute Pr(B(4) > 1, B(5) < 0).
Follow Math Help Forum on Facebook and Google+
Hint: What are the properties for Brownian motions? Knowing this will answer your question.