# Wiener process density

Let $$(W_{t},V_{t})$$ be two independent Wiener processes. We define $$\tau_{a} = \inf\{t>0 : |W_{t}|=a\}$$. Find density of random variable $$V_{\tau_{a}}$$ for any $$a>0$$. How do I do that?

• Take a look at these related questions here and here. There are some further similar questions on MSE ... just try to use the search – saz May 20 at 17:59