The conditional probability density function for a reflected Brownian motion
type: Item
instance of: scholarly article
title: The conditional probability density function for a reflected Brownian motion
zbMATH Open document ID: 1067.60082
author: Dirk Veestraeten
published in: Computational Economics
publication date: 2005-03-15T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 2145924
zbMATH Keywords: asset prices
zbMATH Keywords: Green's functions
zbMATH Keywords: Laplace transform
zbMATH Keywords: reflecting boundaries
zbMATH Keywords: transition density
reviewed by: Luis G. Gorostiza
MaRDI profile type: Publication
Wikidata QID: Q56771207
full work available at URL: b:csem.0000049491.13935.af
OpenAlex ID: W2063722265
DOI: 10.1023/B:CSEM.0000049491.13935.AF
description: scientific article; zbMATH DE number 2145924