Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{d}). Find (mathbb{E} tau_{R}) where (tau_{R}=inf left{t geqslant 0:left|B_{t}ight|=Right}).

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Let $\left(B_{t}ight)_{t \geqslant 0}$ be a $\mathrm{BM}^{d}$. Find $\mathbb{E} \tau_{R}$ where $\tau_{R}=\inf \left\{t \geqslant 0:\left|B_{t}ight|=Right\}$.

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

ISBN: 9783110741254

3rd Edition

Authors: René L. Schilling, Björn Böttcher

Question Posted: Mar 17, 2024 01:00 AM

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Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{d}). Find (mathbb{E} tau_{R}) where (tau_{R}=inf left{t geqslant 0:left|B_{t}ight|=Right}).

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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