Let $(B_t)$ be a standard Brownian motion. How can I compute $P(B_2 > 0 | B_1 > 0)$? I know that $B_2-B_1$ follows a $\mathcal{N}(0,2–1)$, but I do not know how to compute $\int_0^{+\infty}P(B_2>0|B_1)f(B_1)dB_1$.
2026-03-27 04:15:02.1774584902
Brownian motion probability
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