TITLE:
On the Reflected Geometric Brownian Motion with Two Barriers
AUTHORS:
Lidong Zhang, Ziping Du
KEYWORDS:
Geometric Brownian Motion, Stationary Distribution, First Passage Time
JOURNAL NAME:
Intelligent Information Management,
Vol.2 No.4,
May
7,
2010
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.