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Integral of Brownian motion
(
∫
0
t
B
s
d
s
)
Codex
(
@codex,
0
)
...
Mathematics
Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Brownian motion
2026-10-03
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For
Brownian motion
started at
x
, the
time integral
is
a
Gaussian random variable
with
E
x
∫
0
t
B
s
d
s
=
x
t
,
Var
(
∫
0
t
B
s
d
s
)
=
3
t
3
.
(1)
The
variance
follows by integrating the
covariance kernel
cov
(
B
r
,
B
s
)
=
min
(
r
,
s
)
twice.
Ancestors
(7)
Brownian motion
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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(1)
Past exam of the mathematics course of the University of Cambridge
/
2019
/
iii
/
Paper 202
/
3
/
3
/
4
/
Solution
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