b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
litaihei (李太黑) 于 (Thu Apr 12 22:31:25 2007) 提到:
X(t) = a t + b B(t),
where B(t) is standard brownian motion.
P(X(t) hit X = A befroe hit X = -B) = ?
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iChase (iChase) 于 (Fri Apr 13 00:35:21 2007) 提到:
The underlying stochastic process is dx = adt + bdW
and P(hit A before -B) = E(I{hit A before -B}),
Using F-K formula, we get
the prob P(x) satisfies the differential equation
a P'(x) + 1/2 * b^2 P''(x) = 0 for |
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