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The Hitting Time Density for a Reflected Brownian Motion

Authors
  • Hu, Qin1
  • Wang, Yongjin2
  • Yang, Xuewei1
  • 1 Nankai University, School of Mathematical Sciences, TEDA Institute of Computational Finance, Tianjin, 300071, People’s Republic of China , Tianjin (China)
  • 2 Nankai University, School of Business, Tianjin, 300071, People’s Republic of China , Tianjin (China)
Type
Published Article
Journal
Computational Economics
Publisher
Springer US
Publication Date
Mar 24, 2011
Volume
40
Issue
1
Pages
1–18
Identifiers
DOI: 10.1007/s10614-011-9264-0
Source
Springer Nature
Keywords
License
Yellow

Abstract

Reflected Brownian motion has been played an important role in economics, finance, queueing and many other fields. In this paper, we present the explicit spectral representation for the hitting time density of the reflected Brownian motion with two-sided barriers, and give some detailed analysis on the computational issues. Numerical analysis reveals that the spectral representation is more appealing than the method of numerical Laplace inversion. Two applications are included at the end of the paper.

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