Question: 22. Let , and for given positive constants A and B, let p denote the probability that hits A before it hits B. (a) Define

22. Let , and for given positive constants A and B, let p denote the probability that 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

(b) Let , and show that

(c) Use part

(b) and the definition of T to find p.
Hint: What are the possible values of ?

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