We define a Brownian motion $W$, and two stopping times as follow :
$$\tau_a=\inf(t \ge 0 | W_t>a)$$ $$\tau_b=\inf(t \ge 0 | W_t<-b)$$
where $a,b >0$
We can define another stopping time as follow $$\tau=\min(\tau_a,\tau_b)$$
While the density functions of $\tau_a$ and $\tau_b$ are known (by using the Brownian motion reflection principal), how about $\tau$ ?