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- CrashedMint
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How can I prove this Wiener process property?
I'm trying to prove thatwhere W is 1-dimensional standard Wiener.Could somebody point me to a step-by-step proof or tell me how to do this? Thanks!
How can I prove this Wiener process property?
The quickest way is to calculate , and then expand the exponential and identify the terms in equal powers of lambda.