The Brownian Escape Process
Getoor, R. K.
Ann. Probab., Tome 7 (1979) no. 6, p. 864-867 / Harvested from Project Euclid
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Let $X$ be the Brownian motion process in $\mathbb{R}^d, d \geqslant 3$ with $X(0) = 0$. Let $L_r$ be the last exit time of $X$ from the ball of radius $r$ centered at the origin. Then $(L_r)$ has independent increments and we compute the distribution of $L_r$. When $d = 3$ this yields a simple proof of a recent result of Pitman.
Publié le : 1979-10-14
Classification:  Brownian motion,  independent increments,  last exit,  infinitely divisible,  60J65,  60J30 
@article{1176994945,
     author = {Getoor, R. K.},
     title = {The Brownian Escape Process},
     journal = {Ann. Probab.},
     volume = {7},
     number = {6},
     year = {1979},
     pages = { 864-867},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994945}
}

Getoor, R. K. The Brownian Escape Process. Ann. Probab., Tome 7 (1979) no. 6, pp.  864-867. http://gdmltest.u-ga.fr/item/1176994945/