Sunday, 18 August 2013

Probability of a Wiener process staying within a wedge

Probability of a Wiener process staying within a wedge

Given $m>0$, what is the probability that a one-dimensional Wiener process
$W$ will satisfy
$$\left|W_t\right|\leq mt$$
at all times during the period $t \in [0,1]$?

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