hard · Quantitative Finance stochastic
Let W_t be a standard Brownian motion and define the Brownian bridge B_t=W_t-dfractTW_T for tin[0,T], so B_0=B_T=0.
What is Var(B_t)?
- tleft(1-dfractTright)^2
- dfract,(T-t)T
- dfract,(T-t)T^2
- dfract^2,(T-t)T
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