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Variance of the exit time from the band of width 4

Question

A standard Brownian motion BB starts at 00. Let τ\tau be the first time ∣B∣|B| exceeds 44. Find the variance of τ\tau.

Short answer

512/3512/3. For exit level aa, optional stopping on Bt2−tB_t^2-t gives E[Ta]=a2\mathbb{E}[T_a]=a^2, and on the martingale Bt4−6tBt2+3t2B_t^4-6tB_t^2+3t^2 gives E[Ta2]=53a4\mathbb{E}[T_a^2]=\tfrac53a^4. So Var⁡(Ta)=23a4=23⋅256\operatorname{Var}(T_a)=\tfrac23a^4=\tfrac23\cdot256.

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