Question: 8. (6pts) Consider a process Xt satisfying the following properties: (1) Xt has independent increments. (2) For 0 0 Let To be the first time

8. (6pts) Consider a process Xt satisfying the following properties: (1) Xt has independent increments. (2) For 0 0 Let To be the first time that process Xt hits level a. Compute E(Ta). Hint: compute E(e-ATa ) for > > 0 first

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