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Dynkin formula for Brownian motion
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Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Brownian motion
Brownian exit time
Created
2026-09-24
Updated
2026-09-24
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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)
Ancestors
(8)
Brownian exit time
Brownian motion
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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Past exam of the mathematics course of the University of Cambridge
/
2026
/
iii
/
Paper 201
/
5
/
b
/
Solution
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