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Exit probability for an integrated geometric Brownian motion

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  • Makasu, Cloud

Abstract

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.

Suggested Citation

  • Makasu, Cloud, 2009. "Exit probability for an integrated geometric Brownian motion," Statistics & Probability Letters, Elsevier, vol. 79(11), pages 1363-1365, June.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:11:p:1363-1365
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    Cited by:

    1. Lefebvre, Mario, 2024. "Exact solution to a first-passage problem for an Ornstein–Uhlenbeck process with jumps and its integral," Statistics & Probability Letters, Elsevier, vol. 205(C).

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