A company's cash position, measured in millions of dollars, follows a generalized Wiener process with a drift rate of 0.2 per month and a variance rate of 0.5 per month. The initial cash position is 3.0. At what time in the future is the probability of a negative cash position the greatest?

A First Course in Probability (10th Edition)
10th Edition
ISBN:9780134753119
Author:Sheldon Ross
Publisher:Sheldon Ross
Chapter1: Combinatorial Analysis
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A company's cash position, measured in millions of dollars, follows a generalized Wiener process with a drift rate of 0.2 per month and a
variance rate of 0.5 per month. The initial cash position is 3.0.
At what time in the future is the probability of a negative cash position the greatest?
Transcribed Image Text:A company's cash position, measured in millions of dollars, follows a generalized Wiener process with a drift rate of 0.2 per month and a variance rate of 0.5 per month. The initial cash position is 3.0. At what time in the future is the probability of a negative cash position the greatest?
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