Exercise 13.16 Consider a Brownian motion {X(t)} with drift > 0 and diffusion coefficient =
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Exercise 13.16 Consider a Brownian motion {X(t)} with drift μ > 0 and diffusion coefficient σ ̸= 0 starting from X(0) = 0. For z > 0, let Tz denote the first passage time to the state z. Prove that the Laplace transform of Tz is given by
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Related Book For 
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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