Suppose the underlying S follows the standard geometric Brownian motion Use the associated Fokker?Planck-equation, together with the
Question:
Suppose the underlying S follows the standard geometric Brownian motion
Use the associated Fokker?Planck-equation, together with the definition of the probability current
to prove that the probability mass is conserved over time,
Assume that the probability density function p(S, t) is a sufficiently rapid decreasing function, which is true.
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We start with the FokkerPlanck equation for the probability density function pSt of the standard geo...View the full answer
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