Let [begin{aligned}g_{a}^{(u)} & =sup left{t: B_{t}+u t=a ight} T_{a}^{(u)} & =inf left{t: B_{t}+u t=a ight}end{aligned}] Prove that

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Let

\[\begin{aligned}g_{a}^{(u)} & =\sup \left\{t: B_{t}+u t=a\right\} \\T_{a}^{(u)} & =\inf \left\{t: B_{t}+u t=a\right\}\end{aligned}\]

Prove that

\[\left(T_{a}^{(u)}, g_{a}^{(u)}\right) \stackrel{\text { law }}{=}\left(\frac{1}{g_{u}^{(a)}}, \frac{1}{T_{u}^{(a)}}\right)\]

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Mathematical Methods For Financial Markets

ISBN: 9781447125242

1st Edition

Authors: Monique Jeanblanc, Marc Yor, Marc Chesney

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