Bracket with drift

(a) Prove Proposition 4A.7 by finding a function $s$ such that $s(X_t)$ is a martingale. (b) A stock trades at ₹800 with daily volatility ₹16. A trader buys with a stop at ₹776 and a target at ₹848. Compute the probability of hitting the target first, the expected holding time and the expectancy in rupees per share, first with $\mu=0$ and then with $\mu=+\text{₹}0.80$ a day. (c) What drift would make the target and the stop equally likely?