Let $B_t$ be standard Brownian motion and $a < 0 < b$. Define stopping time $T$ as follows. $$T = \min \{t \geq 0: B_t \in \{a, b\} \}.$$ The expectation of $T$ is $\mathbb ET = |a|b$ and can be found here. The question now is how to find the expectation of the square of $T$, i.e., $\mathbb E T^2$. Following the hint, one also needs the iterated law of expectations.
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@20824: There must be some sign mistake because you find a negative value for $\Bbb E[T^2]$. – Siméon Sep 02 '14 at 09:25
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@Siméon Yes, you are right. I think I fixed it. BTW, I would like to delete my answers so that other people can have a try. – LaTeXFan Sep 02 '14 at 12:52
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Let us start from the answer of this question: Expectation of Stopping Time w.r.t a Brownian Motion.
- Use the martingale $B_t^3 - 3tB_t$ to compute $E[T \mid B_T = a]$ and $E[T \mid B_t = b]$. Deduce the value of $E[TB_t^2]$.
- Use the martingale $B_t^4 - 6tB_t^2 + 3t^2$ to compute $E[T^2]$.
