If (left(X_{t} ight)) is a standard Brownian motion, then the process (Y_{t}=M-left|M-X_{t} ight|) is called a Brownian
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If \(\left(X_{t}\right)\) is a standard Brownian motion, then the process \(Y_{t}=M-\left|M-X_{t}\right|\) is called a Brownian motion with reflecting barrier at \(M\). Explain the terminology, and find the c.d.f. and density function of \(Y_{t}\).
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Related Book For
Introduction To The Mathematics Of Operations Research With Mathematica
ISBN: 9781574446128
1st Edition
Authors: Kevin J Hastings
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