On the Reflected Geometric Brownian Motion with Two Barriers
نویسندگان
چکیده
منابع مشابه
On the Reflected Geometric Brownian Motion with Two Barriers
In this paper, we are concerned with Reflected Geometric Brownian Motion (RGBM) with two barriers. And the stationary distribution of RGBM is derived by Markovian infinitesimal Generator method. Consequently the first passage time of RGBM is also discussed.
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ژورنال
عنوان ژورنال: Intelligent Information Management
سال: 2010
ISSN: 2160-5912,2160-5920
DOI: 10.4236/iim.2010.23034