Let {X(t), t ≥ 0} be a Brownian motion with drift coefficient μ and variance parameter σ². What is the conditional distribution of X(t) given that X(s) = c when
(a) s (b) t < s?

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07-06-2024
Mathematics

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Let {X(t), t ≥ 0} be a Brownian motion with drift coefficient μ and variance parameter σ². What is the conditional distribution of X(t) given that X(s) = c when
(a) s (b) t < s?

Sagot :

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