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Critical exponential moment of a drifted Brownian hitting time

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Stochastic process Brownian motion
2026-09-28  0 By others on same topic  0 Discussions Create my own version
For a>0 and Ta​=inf{t≥0:Bt​+t=a},
EeTa​/2=ea.
(1)
Changing measure with the density e−Bt​−t/2 turns Bt​+t into Brownian motion. At Ta​ the density equals e−a+Ta​/2, and Brownian motion hits a almost surely.

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  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 202 / 3 / b / Solution

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