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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Bibliografiske detaljer
Hovedforfatter: Fredrik Armerin
Format: Article
Sprog:engelsk
Udgivet: Elsevier 2025-08-01
Serier:Results in Applied Mathematics
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Online adgang:http://www.sciencedirect.com/science/article/pii/S2590037425000780
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