Show that Brownian motion is continuous in the second mean, i.e. that E[B(t) – B(s)]² → 0 as - s→ t.

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.
Chapter6: Applications Of The Derivative
Section6.CR: Chapter 6 Review
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Show that Brownian motion is continuous in the second mean, i.e. that E[B(t) – B(s)]² → 0 as
-
s→ t.
Transcribed Image Text:Show that Brownian motion is continuous in the second mean, i.e. that E[B(t) – B(s)]² → 0 as - s→ t.
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