Interview Question: Growing Variance

Sample Question #242 (applied math – stochastics)
 
Prove that the variance of a Wiener process increases linearly with the length of time interval. What about the mean?
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2 Responses to Interview Question: Growing Variance

  1. Brett says:

    ANSWER
     

    Δw(t)=ε*sqrt(Δt) => w(t)-w(0)=SUM(i=1 to t/Δt){ε*sqrt(Δt)}. Then easy.
     

  2. Brett says:

    Of course, in my answer ε~N(0,1).
    -brett

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