ON BOUNCING GEOMETRIC BROWNIAN MOTIONS
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DOI: 10.1017/s0269964818000463
Abstract: A pair of bouncing geometric Brownian motions (GBMs) is studied. The bouncing GBMs behave like GBMs except that, when they meet, they bounce off away from each other. The object of interest is the position… read more here.
Keywords: brownian motions; gbms; bouncing geometric; position ... See more keywords