8.2.2 Find the conditional probability that a standard Brownian motion is not zero in the interval .0;b]

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8.2.2 Find the conditional probability that a standard Brownian motion is not zero in the interval .0;b] given that it is not zero in the interval .0;a], where 0 < a < b.

Hint: Let t!0 in the result of Problem 8.2.1.

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An Introduction To Stochastic Modeling

ISBN: 9780233814162

4th Edition

Authors: Mark A. Pinsky, Samuel Karlin

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Question Posted: Nov 01, 2024 04:00 AM

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8.2.2 Find the conditional probability that a standard Brownian motion is not zero in the interval .0;b]

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An Introduction To Stochastic Modeling

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