The law of geometric Brownian motion and its integral, revisited; application to conditional moments
C Donati-Martin, H Matsumoto, M Yor - … from the First World Congress of …, 2002 - Springer
The Law of Geometric Brownian Motion and its Integral, Revisited Application to Conditional
Moments Page 1 The Law of Geometric Brownian Motion and its Integral, Revisited …
Moments Page 1 The Law of Geometric Brownian Motion and its Integral, Revisited …
Revisiting integral functionals of geometric Brownian motion
E Boguslavskaya, L Vostrikova - Statistics & Probability Letters, 2020 - Elsevier
In this paper we revisit the integral functional of geometric Brownian motion I t=∫ 0 te−(μ s+
σ W s) ds, where μ∈ R, σ> 0 and (W s) s> 0 is a standard Brownian motion. Specifically, we …
σ W s) ds, where μ∈ R, σ> 0 and (W s) s> 0 is a standard Brownian motion. Specifically, we …
[引用][C] On distributions of functionals of Brownian motion stopped at inverse range time
AN Borodin - Zapiski Nauchnykh Seminarov POMI, 1999 - mathnet.ru
AN Borodin, “On distributions of functionals of Brownian motion stopped at inverse range time”,
Probability and statistics. Part 3, Zap. Nauchn. Sem. POMI, 260, POMI, St. Petersburg, 1999 …
Probability and statistics. Part 3, Zap. Nauchn. Sem. POMI, 260, POMI, St. Petersburg, 1999 …
On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model
J Jakubowski, M Wiśniewolski - Studia Mathematica, 2013 - infona.pl
We find a probabilistic representation of the Laplace transform of some special functional of
geometric Brownian motion using squared Bessel and radial Ornstein-Uhlenbeck …
geometric Brownian motion using squared Bessel and radial Ornstein-Uhlenbeck …
Exact asymptotics of distributions of integral functionals of the geometric Brownian motion and other related formulas
VR Fatalov - Problems of Information Transmission, 2007 - Springer
We prove results on exact asymptotics of the probabilities P\left {∫\limits_0^ 1 e^ ε ξ (t) dt>
b\right\}, P\left {∫\limits_0^ 1 e^ ε| ξ (t)| dt> b\right\}, ε → 0, where b> 1, for two Gaussian …
b\right\}, P\left {∫\limits_0^ 1 e^ ε| ξ (t)| dt> b\right\}, ε → 0, where b> 1, for two Gaussian …
Brownian Motion with a Singular Drift
D DeBlassie, A Oprisan, RG Smits - arXiv preprint arXiv:2403.06043, 2024 - arxiv.org
arXiv:2403.06043v1 [math.PR] 9 Mar 2024 Page 1 arXiv:2403.06043v1 [math.PR] 9 Mar
2024 Brownian Motion with a Singular Drift Dante DeBlassie Adina Oprisan Robert G. Smits …
2024 Brownian Motion with a Singular Drift Dante DeBlassie Adina Oprisan Robert G. Smits …
On the distribution of the time-integral of the geometric Brownian motion
We study the numerical evaluation of several functions appearing in the small time
expansion of the distribution of the time-integral of the geometric Brownian motion as well as …
expansion of the distribution of the time-integral of the geometric Brownian motion as well as …
On the distribution of estimators of diffusion constants for Brownian motion
We discuss the distribution of various estimators for extracting the diffusion constant of single
Brownian trajectories obtained by fitting the squared displacement of the trajectory. The …
Brownian trajectories obtained by fitting the squared displacement of the trajectory. The …
[HTML][HTML] Approximating the first passage time density of diffusion processes with state-dependent jumps
G D'Onofrio, A Lanteri - Fractal and Fractional, 2022 - mdpi.com
We study the problem of the first passage time through a constant boundary for a jump
diffusion process whose infinitesimal generator is a nonlocal Jacobi operator. Due to the …
diffusion process whose infinitesimal generator is a nonlocal Jacobi operator. Due to the …