Publication | Open Access
On the Reflected Geometric Brownian Motion with Two Barriers
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Citations
8
References
2010
Year
EngineeringPhysicsNitesimal Generator MethodStochastic ProcessesMarkov KernelProbability TheoryBrownian MotionStochastic GeometryStationary DistributionGeometric Brownian MotionStochastic Differential Equation
In this paper, we are concerned with Re?ected Geometric Brownian Motion (RGBM) with two barriers. And the stationary distribution of RGBM is derived by Markovian in?nitesimal Generator method. Consequently the ?rst passage time of RGBM is also discussed.
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