Was looking at a problem for working out the probability of a Brownian Motion defined as B(t)~N(mean=0, sd=t) not meeting a line at y = 12 within 20 time intervals.
And this is to simulate in R.
Seeing as the distribution of the Brownian motion is Normal, I'm assuming the cumulative probability would be pnorm(12, 0, 20), or is it pnorm(12, 0, sqrt(20))
I think it's the former seeing as the original distribution used sd instead of variance? Or am I going down the wrong path entirely?
And this is to simulate in R.
Seeing as the distribution of the Brownian motion is Normal, I'm assuming the cumulative probability would be pnorm(12, 0, 20), or is it pnorm(12, 0, sqrt(20))
I think it's the former seeing as the original distribution used sd instead of variance? Or am I going down the wrong path entirely?