Question: 21. Let $ X(t): t 0 % be a Brownian motion with variance parameter 2. For t > 0, let T be the smallest

21. Let $ X(t): t ≥ 0 % be a Brownian motion with variance parameter σ2. For t > 0, let T be the smallest zero greater than t, and let U be the largest zero smaller than t. For x < t < y, find P (U < x and T > y).

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