Wiener process probability
Calculate with what probability it will happen that the random trajectory of the Wiener process will acquire a value greater than 2 at time 2 and a value less than 2 at time 3.
Answer
- The questioner was satisfied and accepted the answer, or
- The answer was disputed, but the judge evaluated it as 100% correct.
-
Hello, thank you for your answer! Could you please tell me how did you calculate the double integral? Thank you for your response.
-
@Green: Please respond to Kingroma99 question above.
-
@Kingroma99, the double integral was evaluated numerically. Otherwise one can compute it by first treating t as a constant, and integrating from negative infinity to 2-s. This involves the error function, which is the antiderivative of the Gaussian. Then, the result can be integrated with respect to t from 2 to infinity. To get a closed form in terms of error functions, one follows the above procedure while doing a few integral substitutions.
- answered
- 526 views
- $9.50
Related Questions
- Classification problem using one or more Simple Linear Perceptron
- Question about COEFFICIENT OF CORRELATION
- Five married couples are seated around a table at random. Let $X$ be the number of wives who sit next to their husbands. What is the expectation of $X$ $(E[X])$?
- Convergence in Lp
- General understanding of statistics
- Statisitical Experimental Design Question
- Probability and Statistics Question
- What plots should I use to describe the relationship between these 8 continuous variables?