Brownian motion {X(t)} has parameters µ = 0.1 and σ = 2. Evaluate the probability of exiting the interval (a, b] at the point b starting from X(0) = 0 for b = 1, 10, and 100 and a = -b. Why do the...

Brownian motion {X(t)} has parameters µ = 0.1 and σ = 2. Evaluate the probability of exiting the interval (a, b] at the point b starting from X(0) = 0 for b = 1, 10, and 100 and a = -b. Why do the probabilities change when alb is the same in all cases?