On the Reflected Geometric Brownian Motion with Two Barriers

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DOI: 10.4236/iim.2010.23034   PDF   HTML     5,434 Downloads   9,275 Views   Citations

Abstract

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.

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L. Zhang and Z. Du, "On the Reflected Geometric Brownian Motion with Two Barriers," Intelligent Information Management, Vol. 2 No. 4, 2010, pp. 295-298. doi: 10.4236/iim.2010.23034.

Conflicts of Interest

The authors declare no conflicts of interest.

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