On the expectation of normalized Brownian functionals up to first hitting times
Résumé
Let B be a Brownian motion and T1 its first hitting time of the level 1. For U a uniform random variable independent of B, we study in depth the distribution of B UT1/√T1, that is the rescaled Brownian motion sampled at uniform time. In particular, we show that this variable is centered.
Origine : Publication financée par une institution
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