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Dynkin formula for Brownian motion

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Brownian motion Brownian exit time
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
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)

 Ancestors (8)

  1. Brownian exit time
  2. Brownian motion
  3. Stochastic process
  4. Probability theory
  5. Probability and statistics
  6. Area of mathematics
  7. Mathematics
  8.  Home

 Incoming links (1)

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

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