With the help of Corollary 5.7.2.2 and the Cameron-Martin formula, prove that the process (2 M_{t}^{(mu)}-W_{t}^{(mu)}), where

Question:

With the help of Corollary 5.7.2.2 and the Cameron-Martin formula, prove that the process $2 M_{t}^{(\mu)}-W_{t}^{(\mu)}$, where $W_{t}^{(\mu)}=W_{t}+\mu t$, is a diffusion whose generator is $\frac{1}{2} \frac{d^{2}}{d x^{2}}+\mu \operatorname{coth} \mu x \frac{d}{d x}$.

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