【Brownian Motion】一道题求解 (转载)# PhotoGear - 摄影器材
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发信人: skykive (skykive), 信区: Quant
标 题: 【Brownian Motion】一道题求解
发信站: BBS 未名空间站 (Thu Dec 22 06:41:02 2011, 美东)
Let S_0=0 and for n \in N define
T_n = inf { t >= S_{n-1} | B_t >= 1} and S_n = inf{ t>= T_n | B_t <= -1}
Show that P(lim n -> infinity T_n = infinity) = 1
发信人: skykive (skykive), 信区: Quant
标 题: 【Brownian Motion】一道题求解
发信站: BBS 未名空间站 (Thu Dec 22 06:41:02 2011, 美东)
Let S_0=0 and for n \in N define
T_n = inf { t >= S_{n-1} | B_t >= 1} and S_n = inf{ t>= T_n | B_t <= -1}
Show that P(lim n -> infinity T_n = infinity) = 1
