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.
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2025-08-01
|
| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037425000780 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|