Define a(t) = In(1 + t3). If Bị is a Brownian motion, prove that there exists another Brownian motion B, such that at t e*dB, = | rdB,

Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter9: Multivariable Calculus
Section9.2: Partial Derivatives
Problem 36E
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Brownian motion question

Define a(t) = ln(1 + 3t³). If B₁ is a Brownian motion, prove that
t
there exists another Brownian motion B, such that
t
Joran - Jan
e³ dBs =
e³dBs
rdBr.
Transcribed Image Text:Define a(t) = ln(1 + 3t³). If B₁ is a Brownian motion, prove that t there exists another Brownian motion B, such that t Joran - Jan e³ dBs = e³dBs rdBr.
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