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Suppose that $B_t$ is a standard Brownian Motion. And $T_a$ $T_b$ are the hitting time whereas $a<0$, $b>0$. Then are these two random variables independent?

Julie
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1 Answers1

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They are not independent: consider Tb conditional on Ta=T. This equivalent to the hitting time for a+b, which Is clearly different from Tb. You need to give more detail about the question if you want a more rigorous answer.

Foo Bah
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