d***r
发帖数: 2032 | 1 Yes. then i know it is a normail distribution with mean 0. The variance is
Var(At)=Var(W(t) - 1/t*int^t_0(udWu))=Var(Wt)+1/t^2*int^t_0(u^2du)-2/t*Cov(
Wt,1/t*int^t_0(udWu)) = 4t/3 -2/t*Cov(Wt,1/t*int^t_0(udWu))
Not sure how to find Cov(Wt,1/t*int^t_0(udWu))=0? |
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