Expectation of a Wiener process

31 Views Asked by At

Let $W_t$ be a Wiener process. I'm having difficulty finding the next expected value: $$E(max_{t \in [1, 2]}|W_t|)$$. Could you explain the solution to this problem, I don't even know where to start. The only thing i tried was to rewrite $|W_t|$. Since we know that $|W_t|$ equal in distribution to $sup_{s \leq t}W_s$, but after substitution it gave me nothing