Question: Can anyone show me how to solve this problem? Exercise 3.7 Let (X(t), 1 > 0} be a Brownian motion process with drift parameter ji

Can anyone show me how to solve this problem?

Can anyone show me how to solve this problem? Exercise 3.7 Let

Exercise 3.7 Let (X(t), 1 > 0} be a Brownian motion process with drift parameter ji and variance parameter o?. Assume that X (0) = 0, and let T be the first time that the process is equal to y. For y > 0, show that 1. if u 20 P(T) 27/0?, if u

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