3.5. Determine the expected value for absorbed Brownian motion A(t) at time t = 1 by integrating...

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3.5. Determine the expected value for absorbed Brownian motion A(t)

at time t = 1 by integrating the transition density (3.6) according to

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The answer is E[A(1)IA(0) = x] = x. Show that E[A(t)IA(0) = x] = x for all t > 0.

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An Introduction To Stochastic Modeling

ISBN: 9780126848878

3rd Edition

Authors: Samuel Karlin, Howard M. Taylor

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Question Posted: Oct 31, 2024 06:00 AM

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3.5. Determine the expected value for absorbed Brownian motion A(t) at time t = 1 by integrating the transition density (3.6) according to The answer is E[A(1)IA(0) = x] = x. Show that E[A(t)IA(0) =...
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3.5. Determine the expected value for absorbed Brownian motion A(t) at time t = 1 by integrating...

Question:

E[A(1) A(0) = x] = y p(y, 1x) dy = { = 0 - - y[oy x) (y + x)] dy.

Step by Step Answer:

An Introduction To Stochastic Modeling

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