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?

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

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