18. Let Z(t) = X(t)- aX(t-s) where X(t) is the Wiener process. (a) Find the pdf of y(t). (b) Find mean and autocovariance functions.

Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter14: Discrete Dynamical Systems
Section14.3: Determining Stability
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18. Let Z(t) = X(t) - aX(t-s) where X(t) is the Wiener process.
(a) Find the pdf of y(t).
(b) Find mean and autocovariance functions.
Transcribed Image Text:18. Let Z(t) = X(t) - aX(t-s) where X(t) is the Wiener process. (a) Find the pdf of y(t). (b) Find mean and autocovariance functions.
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