文章基本信息

标题：On the Reflected Geometric Brownian Motion with Two Barriers
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作者：Lidong Zhang ; Ziping Du
期刊名称：Intelligent Information Management
印刷版ISSN：2150-8194
电子版ISSN：2150-8208
出版年度：2010
卷号：2
期号：4
页码：295-298
DOI：10.4236/iim.2010.23034
出版社：Scientific Research Publishing
摘要：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.
关键词：Geometric Brownian Motion; Stationary Distribution; First Passage Time