On a problem of H. P. McKean: Independence of Brownian hitting times and places (Q1824947)

Consider a bounded domain \(A\subseteq {\mathbb{R}}^ N\) with \(0\in A\), and X, a Brownian motion starting at 0. The author shows that \(\tau_ A:=\inf \{t: X_ t\not\in A\}\) and \(X(\tau_ A)\) are independent iff there is a ball centered at 0, \(B_{r_ 0}\), with \(A\subseteq B_{r_ 0}\), and \(\tau_ A=\inf \{t: X(t)\not\in B_{r_ 0}\}\quad a.s.\) This result is extended when X is a Brownian motion with constant drift, and when A is unbounded but such that \(\tau_ A<\infty\) a.s.