On the Reflected Geometric Brownian Motion with Two Barriers
نویسندگان
چکیده
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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ورودعنوان ژورنال:
- Intelligent Information Management
دوره 2 شماره
صفحات -
تاریخ انتشار 2010