Question: 23. Let X(t) = () + , and define to be the first time the process [(), > 0} hits either A or

23. Let X(t) = óÂ(ß) + ìß, and define Ô to be the first time the process

[×(ß), ß > 0} hits either A or -B, where A and  are given positive numbers.

Use the Martingale stopping theorem and part

(c) of Exercise 22 to find E[T].

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