The moment generating function of a reflected Brownian motion with drift
We derive an explicit formula for the moment generating function of a Brownian motion with drift reflected from above in one barrier. Some other properties of this stochastic process are also reported.
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| Format: | Article |
| Sprog: | engelsk |
| Udgivet: |
Elsevier
2025-08-01
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| Serier: | Results in Applied Mathematics |
| Fag: | |
| Online adgang: | http://www.sciencedirect.com/science/article/pii/S2590037425000780 |
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