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Flyinglan (flying) 于 (Fri Oct 5 12:00:49 2007) 提到:
Suppose that x is a Brownian motion with drift m and unit variance,
dx = m dt + dz?
If x starts at 0, what is the probability that x hits 3 before hitting -5?
对于没有drift的情况好像有简单的公式,但是有drift的情况怎么算?
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kzkzkz (KZ) 于 (Fri Oct 5 12:07:20 2007) 提到:
也有公式。可以看First course in stochastic processes
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Flyinglan (flying) 于 (Fri Oc