Show that the probability that standard Brownian motion hits a point at a fixed distance (epsilon>0) from
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Show that the probability that standard Brownian motion hits a point at a fixed distance \(\epsilon>0\) from its starting point within a time interval of length \(h\) is of the order \(o(h)\). (Hint: Express the question in terms of the hitting time \(T_{\epsilon}\), and use formula (6) and L'Hopital's Rule.)
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Introduction To The Mathematics Of Operations Research With Mathematica
ISBN: 9781574446128
1st Edition
Authors: Kevin J Hastings
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