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# Category Archives: Quadratic Variation

## Cross-quadratic variation: correlated Brownian Motions

Let \(W_t\) and \(B_t\) be two independent standard Brownian Motions. For \(\rho \in [0,1]\) define

\[ Z_t = {\rho}\, W_t +\sqrt{1-\rho^2}\, B_t\]

- Why is \(Z_t\) a standard Brownian Motion ?
- Calculate the cross-quadratic variations \([ Z,W]_t\) and \([ Z,B]_t\) .
- For what values of \(\rho\) is \(W_t\) independent of \(Z_t\) ?
- ** Argue that two standard Brownian motions are independent if and only if their cross-quadratic variation is zero.