Abstract
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.
Citation
R. K. Getoor. "The Brownian Escape Process." Ann. Probab. 7 (5) 864 - 867, October, 1979. https://doi.org/10.1214/aop/1176994945
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