Search Results for author: Pingping Jiang

Found 1 papers, 0 papers with code

Geometric Brownian motion with affine drift and its time-integral

no code implementations17 Dec 2020 Runhuan Feng, Pingping Jiang, Hans Volkmer

Furthermore, the joint Laplace transform of the process and its time-integral is derived from the asymptotics of the solutions.

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