Let's define two independent Brownian motions $B_1(t)$ and $B_2(t)$. The both start at zero.
I would like to find the following probability $$P \big( B_2(t) \ge B_1(t) \big).$$
How can it be computed?
I would appreciate any hints or tips.
2026-04-03 02:34:17.1775183657
Computing the probability that one Brownian motion is greater or equal then the other
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Hint: $B_2 - B_1$ and $B_1 - B_2$ have the same distribution.