Question: 4.2. A Brownian motion {X(t)} has parameters = 0.1 and a- = 2. Evaluate the probability of exiting the interval (a, b] at the

4.2. A Brownian motion {X(t)} has parameters μ = 0.1 and

a- = 2.

Evaluate the probability of exiting the interval

(a, b] at the point b starting from X(0) = 0 for b = 1, 10, and 100 and a = -b. Why do the probabilities change when alb is the same in all cases?

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