S*******s
发帖数: 13043 | 1 what is the probabilty for a Brownian motion with drift
dB(t)=udt+dW(t), B(0)=0,
hitting A before it reaching B, where A>0>B? | p*****k
发帖数: 318 | 2 for martingale approach, consider:
e^(-2*u*A)-e^(-2*u*Xt)
and e^(-2*u*B)-e^(-2*u*Xt) | d*j
发帖数: 13780 | 3 弄个 exponential martingale
【在 S*******s 的大作中提到】
: what is the probabilty for a Brownian motion with drift
: dB(t)=udt+dW(t), B(0)=0,
: hitting A before it reaching B, where A>0>B?
| t*******e
发帖数: 172 | 4 There is an easy notes for SDE, and in P99, it solves all the questions in
this kind,enjoy it.
http://math.berkeley.edu/~evans/SDE.course.pdf
【在 S*******s 的大作中提到】
: what is the probabilty for a Brownian motion with drift
: dB(t)=udt+dW(t), B(0)=0,
: hitting A before it reaching B, where A>0>B?
| S*******s
发帖数: 13043 | 5 what is your answer then? |
|
