Workbronze2006

On Reflecting Brownian Motion with Drift

22 citations0/0 files storedProceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

Abstract

Let B ＝ (Bt)t≥0 be a standard Brownian motion started at zero, and let μ ∈ R be a given and fixed constant. Set Bμt ＝ Bt +μt and Sμt ＝ max0≤s≤t Bμs for t ≥ 0. Then the process:

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References

1999Continuous Martingales and Brownian Motion 1954CONTINUOUS INSPECTION SCHEMES 1983Stochastic Differential Equations and Diffusion Processes 1979Stochastic differential equations with reflecting boundary condition in convex regions 1981Reflected Brownian Motion on an Orthant 1975Fluctuation theory in continuous time 1975Fluctuation theory in continuous time 2001Fluctuation Theory for Lévy Processes

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