Brownian Motion Covariance - Quant Trader Interview Question
Difficulty: Easy
Category: Finance
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: brownian-motion, stochastic-calculus, covariance, probability
Problem Description
Let $W_t$ be a standard Brownian motion. Calculate $Cov(W_s, W_t)$ where $s < t$.
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