- A Company S Wealth Measured In Millions Of Gils Is Assumed To Follow An Arithmetic Brownian Motion So That For All T 1 (29.4 KiB) Viewed 42 times
A company's wealth, measured in millions of Gils, is assumed to follow an arithmetic Brownian motion, so that for all t
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A company's wealth, measured in millions of Gils, is assumed to follow an arithmetic Brownian motion, so that for all t
A company's wealth, measured in millions of Gils, is assumed to follow an arithmetic Brownian motion, so that for all t > 0 X₁ Xo+pt+oWt, = with coefficients μ = 10 Gils.month-¹, o= 1000 Gils.month-1/2, and where W is a Brownian motion. The current wealth is Xo = 30 million Gils. Give your answers rounded to the nearest integer (e.g. 3). (a) Compute the expected wealth after t = 2 years. [10] (b) Compute the standard deviation of the wealth after t = 2 years. [10]