20. Let T = Min{t : B(t) = 2 4t} That is, T is the first...

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20. Let T = Min{t : B(t) = 2 − 4t}

That is, T is the first time that standard Brownian motion hits the line 2 − 4t. Use the Martingale stopping theorem to find E[T].

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Introduction To Probability Models

ISBN: 9780123756862

10th Edition

Authors: Sheldon M Ross

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Question Posted: Sep 19, 2024 02:23 PM

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20. Let T = Min{t : B(t) = 2 4t} That is, T is the first time that standard Brownian motion hits the line 2 4t. Use the Martingale stopping theorem to find E[T].
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20. Let T = Min{t : B(t) = 2 4t} That is, T is the first...

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Introduction To Probability Models

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