Medium · Stochastic Calculus · Numerical · ~6 min · #69

Hit +1 Before −2

Real interview · Morgan Stanley, Credit Suisse

A standard Brownian motion starts at 0. What is the probability that it hits $+1$ before it hits $-2$ ?

Hints · 0 of 1 shown

Worked solution

Give the problem an honest attempt first, then reveal the full explanation.

Reported in interviews

Morgan StanleyGlassdoor interview question
Credit SuisseGlassdoor interview question
Asked as the complement: hitting −2 before 1 (answer 1/3).

Candidate-reported and unverified; the firm may phrase it differently or no longer ask it. The wording here is our own paraphrase, and the solution was written and checked independently of any answers posted at the source.

Concepts

Optional stopping theoremMartingales

Relevant for

Quant ResearcherDesk Quant