0
$\begingroup$

So this is an exam question I had recently and I honestly had no idea on how to solve it.

Let W(t) be a Brownian Motion stochastic process at time t with drift p and variance v^2

Let s exist such that t1 < s < t2.

  1. Find E[W(s)| W(t1) = a, W(t2) = b]
  2. Find Var[W(s)| W(t1) = a, W(t2) = b]
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.