TD - Independent Brownian motions-Quiz & Sol
QUESTION
Let Wt and W˜
t be two independent Brownian motions and p a constant
between −1 and 1. Is the process Xt = pWt + W˜
t
√
1 − p
2 continuous? What
is its distribution? Is Xt a Brownian motion?
QUESTION
Let Wt and W˜
t be two independent Brownian motions and p a constant
between −1 and 1. Is the process Xt = pWt + W˜
t
√
1 − p
2 continuous? What
is its distribution? Is Xt a Brownian motion?