Exit probability for an integrated geometric Brownian motion

In this note, we present an explicit form for the exit probability of an integrated geometric Brownian motion from a given curved domain. Explicit bounds for the exit probability and one possible application are also given, under certain conditions.

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Year of publication:	2009
Authors:	Makasu, Cloud
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 11, p. 1363-1365
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023184