The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion

DOI10.1239/jap/1363784440zbMath1266.60145OpenAlexW1988708807MaRDI QIDQ4918578

Adam Metzler

Publication date: 25 April 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1363784440

zbMATH Keywords

Laplace transformconfluent hypergeometric functionhitting timeintegrated geometric Brownian motion

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Brownian motion (60J65) Diffusion processes (60J60)

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