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Meeting time of two independent Brownian motions

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Stochastic process Brownian motion
2026-09-28  0 By others on same topic  0 Discussions Create my own version
Two independent one-dimensional Brownian motions started at −a and a meet at the first time a Brownian motion started at 2​a hits zero. The meeting time has density
fT​(u)=πu3​a​e−a2/u,u>0.
(1)
An orthogonal sum coordinate is independent of this hitting time and makes the meeting position conditionally N(0,u/2).

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  1. Brownian motion
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  • Past exam of the mathematics course of the University of Cambridge / 2021 / iii / Paper 201 / 4 / c / Solution

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