Let (left(B_{t}ight)_{t geqslant 0}) be a one-dimensional Brownian motion, (a, b>0) and (tau:=inf left{t geqslant 0:left|B_{t}ight|=b sqrt{a+t}ight}).
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Let \(\left(B_{t}ight)_{t \geqslant 0}\) be a one-dimensional Brownian motion, \(a, b>0\) and \(\tau:=\inf \left\{t \geqslant 0:\left|B_{t}ight|=b \sqrt{a+t}ight\}\). Show that
a) \(\mathbb{P}(\tau<\infty)=1\);
b) \(\mathbb{E} \tau=\infty \quad(b \geqslant 1)\);
c) \(\mathbb{E} \tau<\infty \quad(b<1)\).
Use in b) Wald's identities. For c) show that \(\mathbb{E}(\tau \wedge n) \leqslant a b^{2}\left(1-b^{2}ight)^{-1}\) for \(n \geqslant 1\).
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Related Book For
Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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