Positive at both times
is a standard Brownian motion with . Find the probability that and .
Fractions, decimals with at least 3 significant digits, and expressions such as sqrt(2)/2, e^-1 or pi/4.
Write , where and are independent standard normal variables.
The pair is a standard normal point in the plane, whose direction is uniform. Which directions satisfy both conditions?
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Idea. Write and , two independent standard normals. The point has a uniformly distributed direction, and the conditions and cut out a sector. The answer is the sector's angle divided by .
Step 1. The conditions are and .
Step 2: the sector. is the right half-plane, angles between and . is the half-plane above the line , angles between and . Both hold for angles between and : a sector of .
Step 3. The standard normal distribution in the plane is rotation invariant, so
Remarks. Given , the probability that is . In general, two standard normals with correlation are both positive with probability ; here , so and the formula gives again.