21. Let [X(t), t > 0} be Brownian motion with drift coefficient and variance parameter 2...

21. Let [X(t), t > 0} be Brownian motion with drift coefficient ì and variance parameter ó2 . That is, X(t) = oB(t) + ìß

Let ì > 0, and for a positive constant ÷ let That is, Ã is the first time the process [X(t), t > 0} hits x. Use the Martingale stopping theorem to show that