Title of article
On the Reflected Geometric Brownian Motion with Two Barriers
Author/Authors
Lidong Zhang، نويسنده , , Ziping Du، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
4
From page
295
To page
298
Abstract
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
Keywords
stationary distribution , Geometric Brownian motion , first passage time
Journal title
Intelligent Information Management
Serial Year
2010
Journal title
Intelligent Information Management
Record number
664399
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