Derive the expression XXXXXXXXXXfor the density (on the positive axis) of the survivors at time t, that is, find   where X is a Wiener process with drift µ = 0, diffusion σ = 1, and starting in c > 0....

Derive the expression (10.3) for the density (on the positive axis) of the survivors at time t, that is, find

where X is a Wiener process with drift µ = 0, diffusion σ = 1, and starting in c > 0.

Prove Equations (10.5) and (10.6).

Chapter 11