Suppose thatnbspxttnbspge 0 is a wiener process with drift


Suppose that {X{t),t ≥ 0} is a Wiener process with drift coefficient M and diffusion coefficient σ2 = 1, where M is a random variable having a uniform distribution on the interval [0,1].

(a) Calculate E[X(t)] and Coy[X(s),X(t)], for s, t ≥ 0.

(b) Is the process wide-sense stationary? Justify.

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Basic Statistics: Suppose thatnbspxttnbspge 0 is a wiener process with drift
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