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

Let X(t) = σB(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 the Martingale stopping theorem and part

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