The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion
2013 ◽
Vol 50
(01)
◽
pp. 295-299
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Keyword(s):
In this note we compute the Laplace transform of hitting times, to fixed levels, of integrated geometric Brownian motion. The transform is expressed in terms of the gamma and confluent hypergeometric functions. Using a simple Itô transformation and standard results on hitting times of diffusion processes, the transform is characterized as the solution to a linear second-order ordinary differential equation which, modulo a change of variables, is equivalent to Kummer's equation.
2013 ◽
Vol 50
(1)
◽
pp. 295-299
◽
2001 ◽
Vol 33
(1)
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pp. 223-241
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2003 ◽
Vol 35
(1)
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pp. 159-183
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2003 ◽
Vol 35
(01)
◽
pp. 159-183
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2009 ◽
Vol 46
(2)
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pp. 593-600
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2011 ◽
Vol 48
(1)
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pp. 1-20
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2001 ◽
Vol 38
(3)
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pp. 781-786
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2015 ◽
Vol 52
(1)
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pp. 191-208
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2014 ◽
Vol 51
(04)
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pp. 1081-1099
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