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Conditional Brownian interval-exit time

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Brownian motion Brownian exit time Brownian exit from an interval
2026-09-28  0 By others on same topic  0 Discussions Create my own version
The exit time conditioned on leaving through the upper endpoint satisfies
E[τb​∣τb​<τ−a​]=3b2+2ab​.
(1)
Optional stopping of the cubic martingale Bt3​−3tBt​, together with the lower moments of the interval exit, gives the formula.

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  1. Brownian exit from an interval
  2. Brownian exit time
  3. Brownian motion
  4. Stochastic process
  5. Probability theory
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  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 201 / 4 / c / Solution

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