*24. Let be Brownian motion with drift coefficient and variance parameter . Suppose that . Let...
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*24. Let be Brownian motion with drift coefficient μ and variance parameter . Suppose that . Let and define the stopping time T (as in Exercise 21) by Use the Martingale defined in Exercise 18, along with the result of Exercise 21, to show that In Exercises 25 to 27, is a Brownian motion process with drift parameter μ and variance parameter .
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