=+37.20. The martingale calculation used for (37.39) also works for slanting boundaries. For positive a, b, r,

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=+37.20. The martingale calculation used for (37.39) also works for slanting boundaries.

For positive

a, b, r, let . be the smallest t such that either W, = - a + rt or W, = b + rt, and let p

(a,

b, r) be the probability that the exit is through the upper barrier-that W, = b + IT.

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Probability And Measure Wiley Series In Probability And Mathematical Statistics

ISBN: 9788126517718

3rd Edition

Authors: Patrick Billingsley

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Question Posted: Sep 11, 2024 03:00 AM

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=+37.20. The martingale calculation used for (37.39) also works for slanting boundaries. For positive a, b, r,

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Probability And Measure Wiley Series In Probability And Mathematical Statistics

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