Let X(t) = B(t)+t, and define T to be the first time the process{X(t), t 0}

Let X(t) = σ B(t)+μt, and define T to be the first time the process{X(t), t 0}

hits either A or−B, where A and B are given positive numbers. Use theMartingale stopping theorem and part

(c) of Exercise 22 to find E[T ].