On the first exit time of geometric Brownian motion from stochastic exponential boundaries (Q1794706)
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scientific article; zbMATH DE number 6954791
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the first exit time of geometric Brownian motion from stochastic exponential boundaries |
scientific article; zbMATH DE number 6954791 |
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On the first exit time of geometric Brownian motion from stochastic exponential boundaries (English)
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15 October 2018
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Brownian motion
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boundary crossing probability
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first passage time probability
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stochastic boundary
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linear parabolic equation
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heat equation
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