assume the drunk guy follows brownian motion, then to find E[\tau], we just need to solve a differential equation, since it is just one-dimension, the equation is just ODE:
-1/2 u_xx=0
u(0)=u(100)=0
E[\tau]=E[1]=99
a continuous versio of Quant麵試題:喝醉了(2.5星)
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a mistake:-1/2 u_xx=0 should be -1/2 u_xx=1
-雪山飛魚-
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08/08/2009 postreply
09:26:34
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用計算機模擬了一下
-haobanfa-
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08/15/2009 postreply
16:23:49
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1,000,000次 iteration 的結果是 98.6 步,你的答案因該是對的,隻不過
-haobanfa-
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08/15/2009 postreply
16:27:31
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回複:1,000,000次 iteration 的結果是 98.6 步,你的答案因該是對的,隻不過
-雪山飛魚-
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08/18/2009 postreply
10:00:58
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回複:a continuous versio of Quant麵試題:喝醉了(2.5星)
-tianxing-
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10/24/2009 postreply
23:48:32