Recently I have been self-studying stochastic analysis. One of the exercises was to calculate the probabilty of Brownian motion reaching certain level before time T given that W(t)=x. This wasn't that particulary hard. My question is, is there any way to calculate same thing for geometrical brownian motion? That is, calculate the probability that geometrical brownian motion will stay below some certain level on the interval [t,T]. Just reference to any literature would be fine, tried to search for it on the internet/books and haven't yet saw it. Thank you in advance
2026-04-12 04:44:49.1775969089
Geometrical Brownian motion Passage time
43 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail AtRelated Questions in BROWNIAN-MOTION
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