Solution
= Solution
Under zero drift, reflection gives the maximum tail. Cameron-Martin changes from Brownian motion to drift $c$, weighting reflected paths by $e^{2cx}$, and yields $P(\max_{t\le T}X_t\ge x)=P(X_T\ge x)+e^{2cx}P(-X_T\ge x)$.
= Solution
Under zero drift, reflection gives the maximum tail. Cameron-Martin changes from Brownian motion to drift $c$, weighting reflected paths by $e^{2cx}$, and yields $P(\max_{t\le T}X_t\ge x)=P(X_T\ge x)+e^{2cx}P(-X_T\ge x)$.