Conditional Expectation of Brownian Motion Given Its Absolute Value
Let $W_t$ be a standard Brownian motion. For $0 \leq s \leq t$, compute:
$E[W_s \mid |W_t|]$
What is the numerical answer when $s = 1$, $t = 3$, and $|W_t| = 6$?
Open the full interactive solver, hints, and worked solution →