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?
2026-03-27 23:38:29.1774654709
Wiener process density
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