ur goal is to calculate the
quantity
for the standard Brownian motion
,
some intervals
and time moments
,
.
The
is probability.
We split the interval
into a disjoint union of intervals
,
.
We
calculate
We use the formula (
Bayes
formula
).
We make
small.
We use the formula (
Brownian
motion
).
We make the change
,
.
