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).

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- March 13th 2013, 05:56 PM #1

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- March 13th 2013, 07:27 PM #2

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