Exercise 13.16 Consider a Brownian motion {X(t)} with drift > 0 and diffusion coefficient = 0 starting from X(0) = 0. For z

Exercise 13.16 Consider a Brownian motion {X(t)} with drift μ > 0 and diffusion coefficient σ ̸= 0 starting from X(0) = 0. For z > 0, let Tz denote the first passage time to the state z. Prove that the Laplace transform of Tz is given by

B[-] = exp( + 2029 -11)}. E[e-OT:]