l*******l
发帖数: 248 | 1 其他地方都没希望第一了。。。唉
Suppose we have an _arithmetic_ Wiener process. We start at time t=0. At
time t=1, there is an "obstacle", a vertical line {(t,Wt)| t=1, Wt>=0} What
is the probability of Wiener motion avoiding that obstacle? Now suppose
there is a second obstacle, {(t,Wt) | t=2, Wt<=0). What is the probability
of making through both of these obstacles? | a***x
发帖数: 26368 | 2 争做。
不会。
What
【在 l*******l 的大作中提到】
: 其他地方都没希望第一了。。。唉
: Suppose we have an _arithmetic_ Wiener process. We start at time t=0. At
: time t=1, there is an "obstacle", a vertical line {(t,Wt)| t=1, Wt>=0} What
: is the probability of Wiener motion avoiding that obstacle? Now suppose
: there is a second obstacle, {(t,Wt) | t=2, Wt<=0). What is the probability
: of making through both of these obstacles?
| G********d
发帖数: 10250 | 3 {W1|W1<0}的分布求出来 然后再积分一下就出来第二个答案了啊
What
【在 l*******l 的大作中提到】
: 其他地方都没希望第一了。。。唉
: Suppose we have an _arithmetic_ Wiener process. We start at time t=0. At
: time t=1, there is an "obstacle", a vertical line {(t,Wt)| t=1, Wt>=0} What
: is the probability of Wiener motion avoiding that obstacle? Now suppose
: there is a second obstacle, {(t,Wt) | t=2, Wt<=0). What is the probability
: of making through both of these obstacles?
| l*******l
发帖数: 248 | 4 怎么求分布？对虾米积分？
【在 G********d 的大作中提到】
: {W1|W1<0}的分布求出来 然后再积分一下就出来第二个答案了啊
:
: What
| G*********o
发帖数: 2045 | 5 1/2 and 1/8?
MS?
What
【在 l*******l 的大作中提到】
: 其他地方都没希望第一了。。。唉
: Suppose we have an _arithmetic_ Wiener process. We start at time t=0. At
: time t=1, there is an "obstacle", a vertical line {(t,Wt)| t=1, Wt>=0} What
: is the probability of Wiener motion avoiding that obstacle? Now suppose
: there is a second obstacle, {(t,Wt) | t=2, Wt<=0). What is the probability
: of making through both of these obstacles?
| l*******l
发帖数: 248 | 6 1/8怎么做出来的？
【在 G*********o 的大作中提到】
: 1/2 and 1/8?
: MS?
:
: What
| e******0
发帖数: 211 | 7 这是关于什么的题目
完全没见过
What
【在 l*******l 的大作中提到】
: 其他地方都没希望第一了。。。唉
: Suppose we have an _arithmetic_ Wiener process. We start at time t=0. At
: time t=1, there is an "obstacle", a vertical line {(t,Wt)| t=1, Wt>=0} What
: is the probability of Wiener motion avoiding that obstacle? Now suppose
: there is a second obstacle, {(t,Wt) | t=2, Wt<=0). What is the probability
: of making through both of these obstacles?
| G*********o
发帖数: 2045 | 8 画W(1)和W(2)-W(1)的分布图
【在 l*******l 的大作中提到】
: 1/8怎么做出来的？
| Q***5
发帖数: 994 | 9 W1,W2 are jointly normal, with correlation sqrt(2)/2. The question is to
find the probability of falling in the area (x>=0, y<=0).
This is equivalent to find cdf(0,0) of 2-d normal distribution, with
correlation of -sqrt(2)/2
What
【在 l*******l 的大作中提到】
: 其他地方都没希望第一了。。。唉
: Suppose we have an _arithmetic_ Wiener process. We start at time t=0. At
: time t=1, there is an "obstacle", a vertical line {(t,Wt)| t=1, Wt>=0} What
: is the probability of Wiener motion avoiding that obstacle? Now suppose
: there is a second obstacle, {(t,Wt) | t=2, Wt<=0). What is the probability
: of making through both of these obstacles?
| L**********u
发帖数: 194 | 10 绿书P130的题。
P{W_1<0}=1/2 since W_1 ~N(0,1)
P{W_1<0,W_2>0}=1/8.
What
【在 l*******l 的大作中提到】
: 其他地方都没希望第一了。。。唉
: Suppose we have an _arithmetic_ Wiener process. We start at time t=0. At
: time t=1, there is an "obstacle", a vertical line {(t,Wt)| t=1, Wt>=0} What
: is the probability of Wiener motion avoiding that obstacle? Now suppose
: there is a second obstacle, {(t,Wt) | t=2, Wt<=0). What is the probability
: of making through both of these obstacles?
|
|
