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Brownian reflection principle
...
Mathematics
Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Brownian motion
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Words: 25
Reflecting a Brownian path after its first hit of a level
b
>
0
preserves Wiener measure and maps an endpoint
x
≤
b
to
2
b
−
x
≥
b
.
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Brownian motion
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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Finite-horizon maximum of Brownian motion with negative drift
Solution