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Brownian Motion Calculator

Calculate standard Brownian motion properties: linear combinations, covariance, first passage time probability, and maximum value probability

Calculation Modules
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Input Parameters
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Results
Calculation results and explanations

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About Standard Brownian Motion

Key Properties

  • • B(0) = 0 (starts at origin)
  • • Independent increments
  • • B(t) - B(s) ~ N(0, t-s)
  • • Continuous sample paths

Applications

  • • Financial modeling
  • • Physics diffusion
  • • Signal processing
  • • Risk assessment
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