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Meeting time of two independent Brownian motions
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Mathematics
Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Brownian motion
2026-09-28
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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
f
T
(
u
)
=
π
u
3
a
e
−
a
2
/
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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Brownian motion
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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(1)
Past exam of the mathematics course of the University of Cambridge
/
2021
/
iii
/
Paper 201
/
4
/
c
/
Solution
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