# Questions tagged [brownian-motion]

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### 2-d geometric Brownian motion hitting time distribution

I am trying to solve following problem: Given two independent geometric Brownian motions $\frac{d x_t}{x_t}=\mu_x dt + \sigma_x dw_t^x$ and $\frac{d y_t}{y_t}=\mu_y dt + \sigma_y dW_t^y$ and ...
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### . Let B be a Brownian motion. Compute the mean of the random variable [closed]

$$\xi=e^{2 B_{T}} \int_{0}^{T} e^{2 B_{t}+t} d B_{t}$$
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### Stopping times about Brownian motion with draft

Assumet $M(t) = B(t) + \mu t$ where $B(t)$ is a standard Brownian Motion. Denote: $$T_a := \inf \{ t \geq 0, \, M(t) = a\}, \quad T_b := \inf \{ t \geq 0, \, M(t) = b\}$$ The question asks to ...
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### Orthonormal frame bundles on a manifold

Let $(\mathcal{M},g)$ be a torsion free compact Riemannian manifold of dimension $n$. Hence from the metric we know there is an associated horizontal sub-bundle $H_u F \mathcal{M}$ of the orthonormal ...
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### Existence of two stochastic processes

I am wondering if I can show that For given $x,y\in \mathbb{R}$ there are two stochastic processes $S_t$ and $B_t$ such that $S_t$ and $B_t$ are two one dimensional Brownian motions starting at $x$ ...
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### Bifractional Brownian motion admit a representation in the form of a stochastic integral?

good morning. You know the fractional Brownian motion, multifractional Brownian motion and sub-fractional Brownian motion, can be represented as a wiener integral ( moving average representation ). ...
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### Construct a random time such that the strong Markov property of Brownian motion fails

Let $\{B_t, \mathcal{F}_t; t\ge 0\}$ be a standard, one-dimensional Brownian motion. Can we construct a random time $S$ such that $P[0\le S < \infty] = 1$ and $W_t = B_{S+t} - B_S$ is not a ...
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### A question on the problem of Dirichlet 2

Let $U$ be an open set in $\mathbb{R}^{n}$ with $n\geq2$ and $V$ an open set containing the boundary $\partial U$ of $U$. Suppose $u$ is subharmonic on $V$. We know that the generalized solution of ...
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### A question on the problem of Dirichlet

Suppose $U$ is an open set in $\mathbb{R}^{n}$ ($n\geq2$) whose complementary is not polar, and $f$ is a real-valued function defined at least on the boundary of $U$. We know that the generalized ...
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### Extension of superharmonic functions

Let $V$ be a bounded open set in $\mathbb{R}^{n}$ with $n\geq2$ and $W$ be an open neighborhood of the boundary $\partial V$ of $V$. If $u$ is superharmonic on $W$, is there a way to extend $u$ to a ...
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### White noise vs. black noise

In this excellent lecture ("2d Percolation Revisited") Stanislav Smirnov mentioned the connection of the theory of percolation with the notion of the so called black noise—see at 29:42 (the notion ...
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### Explicit densities for Brownian motion hitting times

I'm looking for functions $g: \mathbb{R}_+ \to \mathbb{R}$ such that the hitting time $$\tau := \inf \{t \geq 0 : B_t \nleq g(t) \}$$ has an explicit density with respect to the Lebesgue measure, ...
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### A set of zero harmonic measure 2

Let 𝑉 be a bounded open set in $\mathbb{R}^{m}$, $m\geq 2$, and 𝑊 the interior of the closure of 𝑉. Let 𝐸 be a subset of ∂𝑉∩𝑊 (∂ means boundary) such that: 1) $E$ has positive ($m-$dimensional) ...