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Maximum before a lower Brownian barrier (f(x)=(b+x)2b​1{x>0}​)

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Brownian motion Brownian reflection principle Brownian running maximum
2026-10-06  0 By others on same topic  0 Discussions Create my own version
Stopping Brownian motion at its first crossing below −b, the nonnegative local martingale (Wt∧τ​+b)/b starts at one and ends at zero. The maximal identity for a continuous nonnegative local martingale tending to zero gives tail b/(b+x) for the stopped maximum, hence density b/(b+x)2 for x>0. There is no atom at zero.

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  1. Brownian running maximum
  2. Brownian reflection principle
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  4. Stochastic process
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  • Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 27 / 5 / c / 1 / Solution

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