STOPPING TIMES OF BROWNIAN MOTION: SOME PROPERTIES OF ROOT'S CONSTRUCTION.
NORTH CAROLINA UNIV CHAPEL HILL DEPT OF STATISTICS
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Root recently described a method of constructing an absorbing barrier for Brownian motion with the property that the value of the process at the moment it stops has any desired distribution with zero mean and finite variance. Further properties of the construction are investigated here, concerning uniqueness and continuity. Author
- Statistics and Probability