scientific article; zbMATH DE number 1067971

zbMATH Open0887.60082MaRDI QIDQ4358487FDOQ4358487

Authors: Mario Lefebvre 

Publication date: 23 April 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

geometric Brownian motionmoment generating functionsfirst passage time problems

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60)

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• First-passage times of two-dimensional Brownian motion
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• Problèmes de premier passage résolubles par la méthode de séparation des variables
• Bounds for expected payoff on two stocks
• Explicit solutions to the Kolmogorov backward equation

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