Hi every body
assume we have two processes (a & b), each of them comprising of two wiener processes. one of these wiener processes is common between a & b, and the other ones are different. how can I compute the variance of a & b in term of the variances of the comprising wiener processes?
If you have data, time series, just apply the definition of variance.
Are you instead after a more elegant mathematical formula? Again start from the definition and expand calculation...
Merci beaucoup Renaud Di Francesco
I found the answer. I used the following equations:
var(s-p)=var(s)+var(p)-2cov(s,p)
for wiener processes:
cov(s,p)=(s+p-abs(s-p))/2
Well done. True, variance is the square of a Euclidian norm of vectors S and P, and it expands with scalar product ; simple and elegant. Well done
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