The conditional probability density function for a reflected Brownian motion (Q1768389)
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scientific article; zbMATH DE number 2145924
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The conditional probability density function for a reflected Brownian motion |
scientific article; zbMATH DE number 2145924 |
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The conditional probability density function for a reflected Brownian motion (English)
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15 March 2005
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The paper starts with an interesting list of applications in several fields where reflected Brownian motion (RBM) with two barriers plays an important modelling role, and specifically in the area of economics. The contribution of the paper is a closed-form expression for the conditional density function of RBM, which is given as an infinite sum of Gaussian densities. This result is shown to compare with advantage against an earlier method, theoretically and in terms of numerical efficiency in applications.
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asset prices
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Green's functions
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Laplace transform
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reflecting boundaries
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transition density
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