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Last passage time above a level for Brownian motion with negative drift
(
T
=
sup
{
t
≥
0
:
W
t
−
a
t
>
b
}
)
...
Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Brownian motion
Brownian motion with drift
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Words: 20
For
a
,
b
>
0
and the convention
sup
∅
=
0
,
P
(
T
≤
t
)
=
Φ
(
a
t
+
t
b
)
−
e
−
2
ab
Φ
(
t
b
−
a
t
)
,
t
>
0.
(38)
Ancestors
(8)
Brownian motion with drift
Brownian motion
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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