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 IIM  Vol.2 No.4 , April 2010
On the Reflected Geometric Brownian Motion with Two Barriers
Lidong Zhang, Ziping Du
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.
Keywords: Geometric Brownian Motion, Stationary Distribution, First Passage Time
Cite this paper: nullL. Zhang and Z. Du, "On the Reflected Geometric Brownian Motion with Two Barriers," Intelligent Information Management, Vol. 2 No. 4, 2010, pp. 295-298. doi: 10.4236/iim.2010.23034.
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