Stochastic Domination of Exit Times for Random Walks and Brownian Motion
with Drift
Stochastic Domination of Exit Times for Random Walks and Brownian Motion
with Drift
In this note, by an elementary use of Girsanov's transform we show that the exit time for either a biased random walk or a drifted Brownian motion on a symmetric interval is stochastically monotone with respect to the drift parameter. In the random walk case, this gives an alternative proof …