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reference books for formulaes in stochastic analysis and random processes?
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Michael11
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Joined: 15 Aug 2005
Posts: 103

PostPosted: Thu Jul 20, 2006 12:38 am    Post subject: reference books for formulaes in stochastic analysis and random processes? Reply with quote

Hi all,

I am looking for formulae for the joint distribution of a the drifted
Geometrical Brownian Motion Xt and running minimum Mt, where Mt=min(Ms, s
from 0 to t)?

A lot textbooks do not provide the formulae.

Do you know where to find such formulae and similar formulaes?

I hope to get hold of several reference books on these formulaes on my
bookshelf.

Thank you!!!
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