Question: 8.3.6 Let M D maxfA.t/I t 0g be the largest value assumed by an absorbed Brownian motion A.t/. Show that PrfM > zjA.0/ D

8.3.6 Let M D maxfA.t/I t  0g be the largest value assumed by an absorbed Brownian motion A.t/. Show that PrfM > zjA.0/ D xg D x=z for 0 < x < z.

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