Revisiting integral functionals of geometric Brownian motion
نویسندگان
چکیده
منابع مشابه
On the Integral of Geometric Brownian Motion
Abstract. This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform ansatz of [Y] with complex analytic methods, which is the main methodological contribution of the paper. The one of our integrals has a similar structur...
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© Springer-Verlag, Berlin Heidelberg New York, 1987, tous droits réservés. L’accès aux archives du séminaire de probabilités (Strasbourg) (http://portail. mathdoc.fr/SemProba/) implique l’accord avec les conditions générales d’utilisation (http://www.numdam.org/legal.php). Toute utilisation commerciale ou impression systématique est constitutive d’une infraction pénale. Toute copie ou impressio...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2020
ISSN: 0167-7152
DOI: 10.1016/j.spl.2020.108834