science forum Guru Wannabe
Joined: 15 Aug 2005
|Posted: Thu Jul 20, 2006 12:38 am Post subject:
reference books for formulaes in stochastic analysis and random processes?
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