On the Cumulants of the First Passage Time of the Inhomogeneous Geometric Brownian Motion
We consider the problem of the first passage time <i>T</i> of an inhomogeneous geometric Brownian motion through a constant threshold, for which only limited results are available in the literature. In the case of a strong positive drift, we get an approximation of the cumulants of <i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-04-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/9/956 |