A geometric Brownian motion is a process (left(Y_{t} ight)) such that its (log) forms a standard Brownian
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A geometric Brownian motion is a process \(\left(Y_{t}\right)\) such that its \(\log\) forms a standard Brownian motion. For such a process with initial state 1, find the probability density function of \(Y_{t}\) and compute \(P\left[2.3 \leq Y_{1} \leq 5.6\right]\).
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Related Book For
Introduction To The Mathematics Of Operations Research With Mathematica
ISBN: 9781574446128
1st Edition
Authors: Kevin J Hastings
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