Lecture

Martingales and Brownian Motion: Drift and Exit Time

Description

This lecture covers the concepts of Brownian motion with drift, the probability of Brownian motion without drift leaving an interval through the upper end, and the calculation of the average time to exit an interval. Topics include the definition of the new Brownian motion with drift, independence of the processes, and the time to exit an interval under different scenarios.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_vqfxhtus

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Ontological neighbourhood

Mathematics

Probability theory: Stochastic processses

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