Headsup this forms part of an assignment question so I'm really just looking for a foothold on how to go about solving it.
Given two standard Brownian Motions such that
Find the MGF:
My thoughts...
I know the distribution for Bt & Ws, so my first thought is to at least define the double integral (based on the joint pdf for a bivariate normal distribution, given I know the mean/var for both the Bt & Ws processes, as well as their correlation coeff.). I can then try to solve that
Is there an alternate/moresane approach? Perhaps involving application of Ito's Lemma/stoch.calc rules?
Help gratefully received
Given two standard Brownian Motions such that
Find the MGF:
My thoughts...
I know the distribution for Bt & Ws, so my first thought is to at least define the double integral (based on the joint pdf for a bivariate normal distribution, given I know the mean/var for both the Bt & Ws processes, as well as their correlation coeff.). I can then try to solve that
Is there an alternate/moresane approach? Perhaps involving application of Ito's Lemma/stoch.calc rules?
Help gratefully received
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