Refer to the Solution Manual of Probability: Theory and Examples, Second Edition by Durrett.
7.5 Martingales
Exercise 7.5.1. Let T = inf { B t ∉ ( − a , a ) }
Refer to the Solution Manual of Probability: Theory and Examples, Second Edition by Durrett.
Exercise 7.5.1. Let T = inf { B t ∉ ( − a , a ) }