An Independence in Brownian Motion with Constant Drift

Stern, Frederick

Ann. Probab., Tome 5 (1977) no. 6, p. 571-572 / Harvested from Project Euclid

Résumé

For Brownian motion with constant drift, when and where the first exit from $(-b, b)$ occur are independent random variables.

Publié le : 1977-08-14
Classification: Brownian motion with constant drift, first exit times from intervals, 60J65, 60G40

@article{1176995763,
     author = {Stern, Frederick},
     title = {An Independence in Brownian Motion with Constant Drift},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 571-572},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995763}
}

Stern, Frederick. An Independence in Brownian Motion with Constant Drift. Ann. Probab., Tome 5 (1977) no. 6, pp.  571-572. http://gdmltest.u-ga.fr/item/1176995763/