Brownian Motion Markov Property - Quant Trader Interview Question
Difficulty: Medium
Category: Stochastic Calculus
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Topics: stochastic-calculus, brownian-motion, markov-property, probability, normal-distribution
Problem Description
Consider a standard Brownian motion $W_t$, where $t \ge 0$. Let $W_s$ represent the value of the Brownian motion at time $s$. According to the Markov property, what can you definitively say about the conditional distribution of $W_t$ given $W_s$ for $t > s$?
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