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Probability Brownian motion is up at 1 and down at 2

Question

Let BB be a standard Brownian motion. Compute P[B1>0 and B2<0]\mathbb{P}[B_1>0\text{ and }B_2<0].

Short answer

1/81/8. Write B1=Z1B_1=Z_1 and B2=Z1+Z2B_2=Z_1+Z_2 with Z1,Z2Z_1,Z_2 independent standard normals. The event Z1>0,  Z2<−Z1Z_1>0,\;Z_2<-Z_1 is a 45∘45^\circ wedge of the plane, and by rotational symmetry its probability is 45/360=1/845/360=1/8.

Adapted from Zhou, A Practical Guide to Quantitative Finance Interviews, sec. 5.4 Brownian Motion and Stochastic Calculus, 'Brownian motion C', p.129; question and answer rewritten by SelfMadeQuant.com.

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