(1) What is the mean value of the first passage time of the reflected Brownian motion ({|B(t)|,...

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(1) What is the mean value of the first passage time of the reflected Brownian motion $\{|B(t)|, t \geq 0\}$ with regard to a positive level $x$ ?

(2) Determine the distribution function of $|B(t)|$.

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Applied Probability And Stochastic Processes

ISBN: 9780367658496

2nd Edition

Authors: Frank Beichelt

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Question Posted: Apr 26, 2024 04:01 PM

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(1) What is the mean value of the first passage time of the reflected Brownian motion ({|B(t)|,...

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Applied Probability And Stochastic Processes

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