An updated and extended set ¡­

An updated and extended set of exercises will be placed on this website by Fri Nov 9 evening. Exercises for Wed 14 are: Simulate paths from (a) the Brownian motion process over the unit interval; (b) the Brownian bridge process over the unit interval; (c) the Ornstein--Uhlenbeck process over say [0,10]; (d) the process Y(t) = 0.95 OU(t) + 0.05 W(t) over [0,10]. Evaluate the probability that the maximum of the last process exceeds the threshold 4.444. (More details are provided in the updated and extended set of exercises.)