4. (Total: 20 marks) Let {Bt, t > 0} be a standard Brownian motion and 0(t1, t2) denote the event that the Brownian moti

Business, Finance, Economics, Accounting, Operations Management, Computer Science, Electrical Engineering, Mechanical Engineering, Civil Engineering, Chemical Engineering, Algebra, Precalculus, Statistics and Probabilty, Advanced Math, Physics, Chemistry, Biology, Nursing, Psychology, Certifications, Tests, Prep, and more.
Post Reply
answerhappygod
Site Admin
Posts: 899603
Joined: Mon Aug 02, 2021 8:13 am

4. (Total: 20 marks) Let {Bt, t > 0} be a standard Brownian motion and 0(t1, t2) denote the event that the Brownian moti

Post by answerhappygod »

4 Total 20 Marks Let Bt T 0 Be A Standard Brownian Motion And 0 T1 T2 Denote The Event That The Brownian Moti 1
4 Total 20 Marks Let Bt T 0 Be A Standard Brownian Motion And 0 T1 T2 Denote The Event That The Brownian Moti 1 (121.68 KiB) Viewed 99 times
4. (Total: 20 marks) Let {Bt, t > 0} be a standard Brownian motion and 0(t1, t2) denote the event that the Brownian motion process takes on the value 0 at least once in the interval (t1, t2), where t2 >tı > 0. Please compute the probability of 0(t1, t2). (Hint: Condition on the value of Bt, and then relate the event to the maximum variable of a Brownian motion.)
Join a community of subject matter experts. Register for FREE to view solutions, replies, and use search function. Request answer by replying!
Top
Post Reply

Return to “Archived Questions & Answers”