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

来源: 于 2009-08-07 13:02:36 [博客] [旧帖] [给我悄悄话] 本文已被阅读：次

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