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
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
Journal title :
Intelligent Information Management
