s******r
发帖数: 58 | 1 Suppose that x is a Brownian motion with no drift and unit variance, i.e. dx
= dz. If x starts at 0, what is the probability that x hits 3 before
hitting -5?
what if the drift is m, i.e.
dx = m dt + dz?
Anybody knows the solution? |
x**y
发帖数: 10012 | 2 第一个5/8
3p+(-5)(1-p) =0
martigale at the stopping time is a martigale
dx
【在 s******r 的大作中提到】
: Suppose that x is a Brownian motion with no drift and unit variance, i.e. dx
: = dz. If x starts at 0, what is the probability that x hits 3 before
: hitting -5?
: what if the drift is m, i.e.
: dx = m dt + dz?
: Anybody knows the solution?
|
d*j
发帖数: 13780 | 3 你太厉害了， 崇拜啊
【在 x**y 的大作中提到】
: 第一个5/8
: 3p+(-5)(1-p) =0
: martigale at the stopping time is a martigale
:
: dx
|
d*j
发帖数: 13780 | 4 第二个用 exponential martingale
dx
【在 s******r 的大作中提到】
: Suppose that x is a Brownian motion with no drift and unit variance, i.e. dx
: = dz. If x starts at 0, what is the probability that x hits 3 before
: hitting -5?
: what if the drift is m, i.e.
: dx = m dt + dz?
: Anybody knows the solution?
|
x**y
发帖数: 10012 | 5 碰巧一个会的。。。
【在 d*j 的大作中提到】
: 你太厉害了， 崇拜啊
|
