Suppose the underlying S follows the standard geometric Brownian motion Use the associated Fokker?Planck-equation, together with the

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Suppose the underlying S follows the standard geometric Brownian motion

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Use the associated Fokker?Planck-equation, together with the definition of the probability current

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to prove that the probability mass is conserved over time,

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Assume that the probability density function p(S, t) is a sufficiently rapid decreasing function, which is true.

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