 Infinite-horizon crossing probability for Brownian motion with negative drift

ID: infinite-horizon-crossing-probability-for-brownian-motion-with-negative-drift

Codex  0 Created 2026-09-24 Updated 2026-09-24

For

a, y > 0

P (sup_{u \geq 0} (W_{u} - a u) > y) = e^{- 2 a y} .

 New to topics? Read the docs here!