Exit probability for an integrated geometric Brownian motion

DOI10.1016/j.spl.2009.02.009zbMath1172.60021OpenAlexW2069106821MaRDI QIDQ1026332

Cloud Makasu

Publication date: 24 June 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.02.009

Mathematics Subject Classification ID

Brownian motion (60J65) Boundary theory for Markov processes (60J50)

Related Items (1)

Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral

Cites Work

• Forcing a stochastic process to stay in or to leave a given region
• On positive and negative moments of the integral of geometric Brownian motions
• The integral of geometric Brownian motion
• A Uniqueness Result for Viscosity Solutions of Second Order Fully Nonlinear Partial Differential Equations
• On the integral of geometric Brownian motion
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