B*****9
发帖数: 48 | 1 X=W_t
W_t is brownian motion and assume W_0=0
Y=\int0^t W_sds
E(XY)=? | J*******g
发帖数: 267 | 2 t^2/2
【在 B*****9 的大作中提到】
: X=W_t
: W_t is brownian motion and assume W_0=0
: Y=\int0^t W_sds
: E(XY)=?
| l******8
发帖数: 32 | 3 I Concur. I use E[XY] = Cov(X,Y) and Cov(W_s,W_t) = min(s,t).
【在 J*******g 的大作中提到】
: t^2/2
| B*****9
发帖数: 48 | 4 XY=W_t*\int0^t W_sds
=\int0^t W_tW_sds
E(XY)=\int0^t E(W_t*W_s)ds
=\int0^t sds
=t^2/2
这样也可以吧
【在 l******8 的大作中提到】
: I Concur. I use E[XY] = Cov(X,Y) and Cov(W_s,W_t) = min(s,t).
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