3.6. Let M = max{A(t); t 0} be the largest value assumed by an absorbed Brownian motion...
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3.6. Let M = max{A(t); t 0} be the largest value assumed by an absorbed Brownian motion A(t). Show that Pr{M > zIA(0) = x} = x/z for 0
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An Introduction To Stochastic Modeling
ISBN: 9780126848878
3rd Edition
Authors: Samuel Karlin, Howard M. Taylor
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