For standard Brownian motion $B$, define stopping time $T_1:=\inf\{t>0: B_t = 3\}$ and $T_2:=\inf\{t>0: B_t = -3\}$ and $T_3 := \min\{T_1, T_2\}$.
- Can I say that $T_3 = \inf\{t>0, B_t \in \{-3, 3\}\}$?
- In addition, how to relate $T_1$ and $T_2$ in terms of their distributions? I would imagine some easy relationship between their moment generating function or Laplace transform since $-B$ is also a Brownian motion. Hence, $T_2$ is the counterpart of $T_1$ for $-B$. Is there any available result for this? Thank you!
Yes, this one is very simple and has nothing to do with probability: $$ \min(\inf\{t: B_t = a\}, \inf\{t: B_t = -a\}) = \inf\{t: B_t = a \text{ or } B_t = -a\}$$
Indeed, as in probability law for stochastic processes $(B_t) = (-B_t)$, $T_1$ and $T_2$ have the same distribution:
$$ Ef(\inf\{t: B_t = a\}) =^* \inf\{t: -B_t = a\} = \inf\{t: B_t = -a\} $$
where you use the fact that $(B_t) = (-B_t)$ in the $*$ed equality.