Given a geometric Brownian motion:

$\frac{dZ}{Z} = \mu dt + \sigma dW$

Is there a closed-form solution to $\mathbb{E}[z_s | (z_s > a)\cap(z_t > b)]$ for $t \geq s$?

  • $\begingroup$ I don't know, is there? $\endgroup$ – Math1000 May 10 '18 at 9:42

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