TD - Independent Brownian motions-Quiz & Sol

kr 101,02 NOK

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?

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