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XV: 46, 669-670, LNM 850 (1981)
LÉPINGLE, Dominique
Une remarque sur les lois de certains temps d'atteinte (Brownian motion)
Let $T$ be the exit time of the interval $[-d,c]$ for a Brownian motion starting at $0$. A classical formula giving the Laplace transform of the law of $T$ can be extended by analytical continuation to the positive axis. It is shown here that this extension has a purely probabilistic proof. The same method gives two other formulas
Keywords: Exit time from an interval
Nature: New proof of known results
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