Abstract
For Brownian motion with constant drift, when and where the first exit from $(-b, b)$ occur are independent random variables.
Citation
Frederick Stern. "An Independence in Brownian Motion with Constant Drift." Ann. Probab. 5 (4) 571 - 572, August, 1977. https://doi.org/10.1214/aop/1176995763
Information
Published: August, 1977
First available in Project Euclid: 19 April 2007
zbMATH: 0371.60095
MathSciNet: MR438496
Digital Object Identifier: 10.1214/aop/1176995763
Subjects:
Primary:
60J65
Secondary:
60G40
Keywords:
Brownian motion with constant drift
,
first exit times from intervals
Rights: Copyright © 1977 Institute of Mathematical Statistics
