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Brownian exit time (TD​)

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Stochastic process Brownian motion
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
For a domain D, the Brownian exit time is TD​=inf{t≥0:Bt​∈/D}. It is a stopping time, and it has finite expectation when D is bounded.
  • Table of contents
    • Dynkin formula for Brownian motion Brownian exit time

Dynkin formula for Brownian motion

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Brownian exit time
For a suitable twice differentiable function u and an integrable stopping time T,
Ex​u(BT​)=u(x)+Ex​∫0T​21​Δu(Bt​)dt.
(1)

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  • Past exam of the mathematics course of the University of Cambridge / 2026 / iii / Paper 201 / 5 / a / Solution

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