On the first exit time of geometric Brownian motion from stochastic exponential boundaries
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Publication:1794706
DOI10.1007/s40819-018-0556-0zbMath1414.60070OpenAlexW2889530048WikidataQ115600447 ScholiaQ115600447MaRDI QIDQ1794706
Publication date: 15 October 2018
Published in: International Journal of Applied and Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40819-018-0556-0
heat equationBrownian motionlinear parabolic equationboundary crossing probabilityfirst passage time probabilitystochastic boundary
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