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On the Reflected Geometric Brownian Motion with Two Barriers
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Intelligent Information Management·Volume 02 (2010)·Pages 295–298·Published 30 April 2010·DOI10.4236/iim.2010.23034
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Abstract
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.
KeywordsGeometric Brownian MotionStationary DistributionFirst Passage Time
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