24. Let {X(t), t 0} be Brownian motion with drift coefficient and variance parameter 2....

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24. Let {X(t), t 0} be Brownian motion with drift coefficient μ and variance parameter

σ2. Suppose that μ > 0. Let x > 0 and define the stopping time T (as in Exercise 21) by T = Min{t: X(t) = x}

Use the Martingale defined in Exercise 18, along with the result of Exercise 21, to show that Var(T) = xσ

/μ

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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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24. Let {X(t), t 0} be Brownian motion with drift coefficient and variance parameter 2....

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Introduction To Probability Models

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