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

23. Let X(t) = σB(t) + μt, and define T to be the first time the process

{X(t), t 0} hits either A or −B, where A and B are given positive numbers.

Use the Martingale stopping theorem and part

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

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