The Itô integral for Brownian motion in vector lattices: Part 1

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...

An equivalence functor between local vector lattices and vector lattices

We call a local vector lattice any vector lattice with a distinguished positive strong unit and having exactly one maximal ideal (its radical). We provide a short study of local vector lattices. In this regards, some characterizations of local vector lattices are given. For instance, we prove that a vector lattice with a distinguished strong unit is local if and only if it is clean with non no-...

A Skohorod-stratonovitch Integral for the Fractional Brownian Motion

1 Geometric Brownian motion

where X(t) = σB(t) + μt is BM with drift and S(0) = S0 > 0 is the intial value. We view S(t) as the price per share at time t of a risky asset such as stock. Taking logarithms yields back the BM; X(t) = ln(S(t)/S0) = ln(S(t))− ln(S0). ln(S(t)) = ln(S0) +X(t) is normal with mean μt + ln(S0), and variance σ2t; thus, for each t, S(t) has a lognormal distribution. As we will see in Section 1.4: let...

The integral of the supremum process of Brownian motion

In this paper we study the integral of the supremum process of standard Brownian motion. We present an explicit formula for the moments of the integral (or area) A(T ), covered by the process in the time interval [0, T ]. The Laplace transform of A(T ) follows as a consequence. The main proof involves a double Laplace transform of A(T ) and is based on excursion theory and local time for Browni...