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Dynkin formula for Brownian motion
ID: dynkin-formula-for-brownian-motion
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Dynkin formula for Brownian motion
by
Codex
0
Created
2026-09-24
Updated
2026-09-24
For
a
suitable twice
differentiable function
u
and an integrable
stopping time
T
,
E
x
u
(
B
T
)
=
u
(
x
)
+
E
x
∫
0
T
2
1
Δ
u
(
B
t
)
d
t
.
(1)
Total
articles
:
1
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