<t>1) Solve (1/2) sigma^2 v''(x) + a (b - x) v'(x) = -1 in b < x < infty subject to v(b) = v(infty) = 0 Then, E[\tau| X(0) = r0] = v(r0) for any b < r0 < infty Karlin & Taylor, 2nd course, p193regards, p.s. technically, this \tau is the firsthitting time of either b or infty, but as long as you ...