Hitting distributions of geometric Brownian motion

T. Byczkowski, M. Ryznar

Let $\tau$ be the first hitting time of the point 1 by the geometric Brownian motion $X(t)=x\exp (B(t)-2\mu t)$ with drift $\mu \ge 0$ starting from $x>1$. Here $B(t)$ is the Brownian mot…