Two Brownian values, both positive

Let BtB_t be a standard Brownian motion. Find P[B2>0, B8>0]\mathbb{P}[B_2 > 0,\ B_8 > 0]. The probability equals 1M\tfrac{1}{M} for an integer MM; find MM.

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  1. (B2,B8)(B_2,B_8) is jointly normal with mean 00. Find its correlation using Cov(Bs,Bt)=min(s,t)\operatorname{Cov}(B_s,B_t)=\min(s,t).
  2. Use the orthant formula P[X>0,Y>0]=14+arcsinρ2π\mathbb{P}[X>0,Y>0]=\tfrac14+\tfrac{\arcsin\rho}{2\pi} with ρ=12\rho=\tfrac12.

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Asked at: Citadel, Two Sigma

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