Cauchy exit law from a Brownian half-plane
ID: cauchy-exit-law-from-a-brownian-half-plane
Planar Brownian motion started at exits the left half-plane with ordinate distributed as times a standard Cauchy random variable. Conditional on the independent horizontal hitting time, the ordinate is normal with variance equal to that time. The inverse-square Gaussian law of Brownian first passage turns this into a ratio of independent standard normals. Its exit density is .
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