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Stochastic Mechanics 6 CFU Part I 13.12.2007

Exercise 1A die is rolled twice. X is the modulus of the difference of outcomes, Y is the outcome of the first roll.

aFind an explicit formula for E(X|Y ).

bfind and compare the σ-algebras generated by the random variables Y and E(X|Y ).

Exercise 2 Let X be a Bernoulli variable of parameter p, (P (X = 1) = p and P (X = 0) = 1 − p) and Y a normal random variable Y ∼ N (m, σ2). X and Y are independent. Calculate the characteristic function of Z= X + Y .

Exercise 3Let Wtand ˆWtbe two independent Brownian motions, define Xt= a(Wt+ ˆWt). Find a ∈ R such that Xtis a Brownian motion.

Exercise 4Give the definition of Ito integral for a step function and calculate

E

Z t

0

e3WsdWs

2

1

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