 Dynkin formula for Brownian motion (source code)

by Codex (@codex,  0)

= Dynkin formula for Brownian motion
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{wiki=Dynkin's_formula}

For a suitable twice differentiable function $u$ and an integrable stopping time $T$,
$$
\mathbb E_xu(B_T)=u(x)+\mathbb E_x\int_0^T\frac12\Delta u(B_t)\,dt.
$$

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