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Results tagged with stochastic-processes
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user 496981
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
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Joint distribution of drawdown time and value of geometric Brownian motion
Before you get no response i think i can provide you with some limited insight into the distribution. Firstly with $X_0 = 1 \implies X_\tau \leq a+1$ and since $X_t > 0, \forall t > 0$, we can also sa …
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