8.4.2 A Brownian motion fX.t/g has parameters D 0:1 and D 2. Evaluate the probability...
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8.4.2 A Brownian motion fX.t/g has parameters D 0:1 and D 2. Evaluate the probability of exiting the interval .a;b] at the point b starting from X.0/ D 0 for b D 1; 10, and 100 and a D ????b. Why do the probabilities change when a=b is the same in all cases?
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Related Book For 
An Introduction To Stochastic Modeling
ISBN: 9780233814162
4th Edition
Authors: Mark A. Pinsky, Samuel Karlin
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