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litaihei (李太黑) 于 (Sat Apr 14 12:39:53 2007) 提到:
X(t) = a t + b W(t) , where W(t) is standard Brownian motion.
T = Min(t, X(t) = x ) where x > 0;
What is E(T)
What is Var(T)
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expix (yun) 于 (Sat Apr 14 14:04:45 2007) 提到:
I use Girsanov to make Xt/b to be a Brownian motion under measure Q, and use
Doob's OST to find the Laplace transform of T, the rest of problem is
trivial.
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