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The randomly stopped geometric Brownian motion
Balanzario, Eugenio P.; Ramírez, Rosalva Mendoza; … - In: Statistics & Probability Letters 90 (2014) C, pp. 85-92
In this short note we compute the probability density function of the random variable XT, where Xt is a geometric Brownian motion, and where T is a random variable independent of Xt and has either a Gamma distribution or it is uniformly distributed. In the last section of the note, the...
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