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Assuming $\theta>0$ (take $\tilde{X}=\mu-X$ if it is not the case) Let us denote $\text{erfi}(x)$ the imaginary error function Let us denote $\tau_L$,resp.$\tau_U$ the hitting time of $L$resp.$U$ where $L<U$ 1) Using Ito's lemma, prove that : $$Y_t = \text{erfi}\left(\sqrt{\frac{\theta}{\sigma^2}}\left(X_t-\mu\right)\right) \text{ is a martingale}$$ ...