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arxiv: 1310.1181 · v1 · pith:NFXSIUXZnew · submitted 2013-10-04 · 🧮 math.PR

On the expectation of normalized Brownian functionals up to first hitting times

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keywords brownianfirsthittingmotiontimeuniformvariablecentered
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Let B be a Brownian motion and T its first hitting time of the level 1. For U a uniform random variable independent of B, we study in depth the distribution of T^{-1/2}B_{UT}, that is the rescaled Brownian motion sampled at uniform time. In particular, we show that this variable is centered.

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