On the Conditional Expectation of the First Exit Time of Brownian Motion
نویسندگان
چکیده
منابع مشابه
A Sharp Inequality for Conditional Distribution of the First Exit Time of Brownian Motion
Let U be a domain, convex in x and symmetric about the y-axis, which is contained in a centered and oriented rectangle R. If τA is the first exit time of Brownian motion from A and A + = A ∩ {(x, y) : x > 0}, it is proved that P (τU+ > s | τR+ > t) ≤ P (τU > s | τR > t) for every s, t > 0 and every z ∈ U +.
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ژورنال
عنوان ژورنال: Rocky Mountain Journal of Mathematics
سال: 2009
ISSN: 0035-7596
DOI: 10.1216/rmj-2009-39-2-563