On the distribution of the time-integral of the geometric Brownian motion.

Péter Nándori Dan Pirjol

Published in: J. Comput. Appl. Math. (2022)

Keyphrases

brownian motion
optimal stopping
differential equations
stochastic process
optimal control
heavy tailed
diffusion process
poisson process
vector valued
closed form solutions
stochastic processes
heavy traffic
probability distribution
random variables
multiscale
kernel methods
supply chain
optimal solution