Skip to content
Q31Section ST (Statistics (Q11–Q65))31 of 65

Correlation of overlapping Brownian sums

Let {W(t):t≥0}\{W(t) : t \ge 0\} be a standard Brownian motion, with W(0)=0W(0) = 0. Define Z1=W(1)+W(2)Z_1 = W(1) + W(2) and Z2=W(2)+W(3)Z_2 = W(2) + W(3). Let ρ\rho be the correlation coefficient between Z1Z_1 and Z2Z_2. Then the value of 10ρ10\rho is ________ (round off to two decimal places).

Numerical answer: type the number (no options).

Type your answer and check it.