If e is a random sample from a standard normal distribution,which of the following is the change in a Wiener process in time dt .
A) e times the square root of dt
B) e times dt
C) dt times the square root of e
D) The square root of e times the square root of dt

Question

Quizplus · Accepted Answer

The change in a Wiener process over time dt is modeled as e times the square root of dt, where e is a sample from a standard normal distribution. This reflects the property that the variance of the process's changes scales with time.

If E Is a Random Sample from a Standard Normal