Let X(t) = B(t)+t, and for given positive constants A and B, let p denote the probability

Let X(t) = σB(t)+μt, and for given positive constants A and B, let p denote the probability that {X(t), t ≥ 0} hits A before it hits −B.

(a) Define the stopping time T to be the first time the process hits either A or

−B. Use this stopping time and the Martingale defined in Exercise 19 to show that E[exp{c(X(T )−μT )/σ −c2T/2}] = 1

b) Let c=−2μ/σ, and show that E[exp{−2μX(T )/σ }] = 1

(c) Use part

(b) and the definition of T to find p.
Hint: What are the possible values of exp{−2μX(T )/σ 2}?