Brownian motion with partial information
Brownian motion with partial information
We study the following problem concerning stopped <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper N"> <mml:semantics> <mml:mi>N</mml:mi> <mml:annotation encoding="application/x-tex">N</mml:annotation> </mml:semantics> </mml:math> </inline-formula>-dimensional Brownian motion: Compute the maximal function of the process, ignoring those times when it is in some fixed region <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper R"> <mml:semantics> <mml:mi>R</mml:mi> <mml:annotation encoding="application/x-tex">R</mml:annotation> </mml:semantics> …