a continuous versio of Quant面试题：喝醉了（2.5星）

雪山飞鱼 2009-08-07 13:02:36 ( reads)

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

跟帖(5)

雪山飞鱼

2009-08-08 09:26:34

a mistake:-1/2 u_xx=0 should be -1/2 u_xx=1

haobanfa

2009-08-15 16:23:49

用计算机模拟了一下

haobanfa

2009-08-15 16:27:31

1,000,000次 iteration 的结果是 98.6 步，你的答案因该是对的，只不过

雪山飞鱼

2009-08-18 10:00:58

回复：1,000,000次 iteration 的结果是 98.6 步，你的答案因该是对的，只不过

tianxing

2009-10-24 23:48:32

回复：a continuous versio of Quant面试题：喝醉了（2.5星）