【 以下文字转载自 Mathematics 讨论区 】 发信人: cockroach (冬冬), 信区: Mathematics 标 题: a question on brownian motion 发信站: BBS 未名空间站 (Thu Feb 10 20:22:29 2011, 美东) Let W(t) be the standard Brownian motion. It is known that the covariance matrix K has entries K(i,j)=min{i,j}. Now, if t is a vector instead of a scalar (I even don't know the name of this random process), what does the covariance matrix look like?