For a Brownian motion process with drift coefficient let f(x) =E[time to hit either A or -B|X

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For a Brownian motion process with drift coefficient let f(x) =E[time to hit either A or -B|X = x], where A > 0, B>0, -B 0.

(c) What is the relationship between g(x), g(y), and g(x + y) in

(b)

(d) Solve for g(x).

(e) Verify your solution by differentiating (84.11)

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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Question Posted: Sep 06, 2024 09:04 AM

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For a Brownian motion process with drift coefficient let f(x) =E[time to hit either A or -B|X

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Stochastic Processes

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