Q1-Consider a standard Wiener Process. 1. Find the probability that the process hits W(t)=-4 before it ever hits 2, and
Posted: Mon Nov 15, 2021 10:04 am
Q1-Consider a standard Wiener Process.
1. Find the probability that the process hits W(t)=-4
before it ever hits 2, and then, upon hitting -4, hits 2 within 20
units of time of hitting -4.
2. Consider a function f(x) = a + bx. What is the
distribution of f (W (t))?
3. With a=5 and b=2, what is the probability that f(W(t))
hits = 8 before time 20?
1. Find the probability that the process hits W(t)=-4
before it ever hits 2, and then, upon hitting -4, hits 2 within 20
units of time of hitting -4.
2. Consider a function f(x) = a + bx. What is the
distribution of f (W (t))?
3. With a=5 and b=2, what is the probability that f(W(t))
hits = 8 before time 20?