Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{1}) and denote by (tau_{b}=inf left{s geqslant 0: B_{s}=bight}) the first
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Let \(\left(B_{t}ight)_{t \geqslant 0}\) be a \(\mathrm{BM}^{1}\) and denote by \(\tau_{b}=\inf \left\{s \geqslant 0: B_{s}=bight\}\) the first time when \(B_{t}\) reaches \(b \in \mathbb{R}\). Show that
a) \(\tau_{b} \sim \tau_{-b}\);
b) \(\tau_{c b} \sim c^{2} \tau_{b}, c \in \mathbb{R}\);
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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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