Geometric Brownian motion with affine drift and its time-integral

DOI10.1016/j.amc.2020.125874OpenAlexW3113338105MaRDI QIDQ2663830

Pingping Jiang, Runhuan Feng, Hans W. Volkmer

Publication date: 20 April 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.09661

zbMATH Keywords

asymptoticsboundary value problemLamperti's transformationdeometric Brownian motion with affine driftdoubly-confluent Heun equation

Mathematics Subject Classification ID

Brownian motion (60J65) Linear ordinary differential equations and systems in the complex domain (34M03)

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