Let (Bt)t≥0(B_t)_{t \geq 0}(Bt)t≥0 be a standard Brownian motion. For a>0a > 0a>0, define the stopping time
For λ>0\lambda > 0λ>0, what is the value of E[exp(−λUa)]E[\exp(-\lambda U_a)]E[exp(−λUa)]?