Let (W=left(W_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{2}) such that (W_{0}=(a, b)) with (a, b>0). What is the

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Let $W=\left(W_{t}ight)_{t \geqslant 0}$ be a $\mathrm{BM}^{2}$ such that $W_{0}=(a, b)$ with $a, b>0$. What is the probability that $W_{t}$ hits first the positive part of the $x$-axis before it hits the negative part?

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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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Question Posted: Mar 17, 2024 01:00 AM

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Let (W=left(W_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{2}) such that (W_{0}=(a, b)) with (a, b>0). What is the

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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