8.4.3 A Brownian motion fX.t/g has parameters D 0:1 and D 2. Evaluate the mean...

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8.4.3 A Brownian motion fX.t/g has parameters D 0:1 and D 2. Evaluate the mean time to exit the interval .a;b] from X(0) D 0 for b D 1; 10, and 100 and a D ????b. Can you guess how this mean time varies with b for b large?

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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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8.4.3 A Brownian motion fX.t/g has parameters D 0:1 and D 2. Evaluate the mean...

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An Introduction To Stochastic Modeling

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