A variable x starts at 10 and follows the generalized Wiener process dx = a dt + b dz
Where time is measured in years.If a = 3 and b =4 what is the standard deviation of the value in 4 years?
A) 4
B) 8
C) 12
D) 16

Question

Quizplus · Accepted Answer

The standard deviation of a Wiener process after time t is given by the formula σ = b√t. Here, b = 4 and t = 4 years, so σ = 4√4 = 4*2 = 8.

A Variable X Starts at 10 and Follows the Generalized