MediumStochastic ProcessesAcceptance 65%

Covariance of Brownian Motion

Goldman SachsTwo Sigma

For a standard Brownian motion, what is Cov⁡(B2,B5)\operatorname{Cov}(B_2, B_5)?

Approach

Split BtB_t into BsB_s plus an independent increment.

The answer is min(s, t).

Answer

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