论文信息 - On the Reflected Geometric Brownian Motion with Two Barriers

On the Reflected Geometric Brownian Motion with Two Barriers

In this paper, we are concerned with Re?ected Geometric Brownian Motion (RGBM) with two barriers. And the stationary distribution of RGBM is derived by Markovian in?nitesimal Generator method. Consequently the ?rst passage time of RGBM is also discussed.

Lidong Zhang | Ziping Du | Lidong Zhang | Ziping Du

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