Let (12, F,P) be a probability space. Let {Bt}t>o be a Brownian motion on (12,F,P), and let {Ft}t>o be the filtration ge

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Let 12 F P Be A Probability Space Let Bt T O Be A Brownian Motion On 12 F P And Let Ft T O Be The Filtration Ge 1 (164.52 KiB) Viewed 65 times

Let (12, F,P) be a probability space. Let {Bt}t>o be a Brownian motion on (12,F,P), and let {Ft}t>o be the filtration generated by {Bt}t>o. Question 3: Let o be defined by 5, te (0,1) B0.5, te (1,2) B2, te (2,3) 0, t> 3 Let Y be given by Y = 1 Øt dBt and let V[Y] denote the variance of Y. Which of the following is correct? a) V[Y] = 7.5 b) V[Y] = 0 c) V[Y] = 27.5 d) V[Y] = 56.25 = e) I don't know.