B1(t), B2(t) are to inde. std. Brownian motions
T1=inf{s>0}(B1(s)=a)
T2=inf{s>0}(B2(s)=b)
Is there a way to break up the following or perhaps
a kown density for:
** P(T1=x,T1<T2,B2(T1)=y)
Note that:
T1<T2 iff m2(T1)>b where m2(t) = running minimum for B2(t).
So ** may be expressed as:
P(T1=x,m2(T1)>b,B2(T1)=y)
Any and all help appreciated!!
Please reply to [EMAIL PROTECTED]
