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Critical exponential moment of a drifted Brownian hitting time
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Mathematics
Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Brownian motion
2026-09-28
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For
a
>
0
and
T
a
=
in
f
{
t
≥
0
:
B
t
+
t
=
a
}
,
E
e
T
a
/2
=
e
a
.
(1)
Changing
measure
with the
density
e
−
B
t
−
t
/2
turns
B
t
+
t
into
Brownian motion
. At
T
a
the
density
equals
e
−
a
+
T
a
/2
, and
Brownian motion
hits
a
almost surely
.
Ancestors
(7)
Brownian motion
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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(1)
Past exam of the mathematics course of the University of Cambridge
/
2023
/
iii
/
Paper 202
/
3
/
b
/
Solution
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