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Geometric Brownian motion with affine drift and its time-integral - MaRDI portal

Geometric Brownian motion with affine drift and its time-integral

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Publication:6356351

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DOI10.1016/J.AMC.2020.125874zbMath1508.60087arXiv2012.09661MaRDI QIDQ6356351

Runhuan Feng, Pingping Jiang

Publication date: 17 December 2020

Mathematics Subject Classification ID

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

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