An exponential functional of random walks

DOI10.1239/JAP/1053003553MaRDI QIDQ4435683zbMATH OpenOpenAlexFDO

Authors Tamas Szabados, Balázs Székely

Publication date 17 November 2003

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.1512

zbMATH Keywords

\(L^p\) limitAsian optionexponential functionalrandom walkself-similaritystrong approximation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) (L^p)-limit theorems (60F25) Sums of independent random variables; random walks (60G50)

Abstract: The aim of this paper is to investigate discrete approximations of the exponential functional $in{t}_0^{infty}exp(B(t)-ut)dit$ of Brownian motion (which plays an important role in Asian options of financial mathematics) by the help of simple, symmetric random walks. In some applications the discrete model could be even more natural than the continuous one. The properties of the discrete exponential functional are rather different from the continuous one: typically its distribution is singular w.r.t. Lebesgue measure, all of its positive integer moments are finite and they characterize the distribution. On the other hand, using suitable random walk approximations to Brownian motion, the resulting discrete exponential functionals converge a.s. to the exponential functional of Brownian motion, hence their limit distribution is the same as in the continuous case, namely, the one of the reciprocal of a gamma random variable, so absolutely continuous w.r.t. Lebesgue measure. This way we give a new, elementary proof for an earlier result by Dufresne and Yor as well.

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Cited in

(6)

• Exponential functionals of integrated processes
• Discrete integrable systems and Pitman's transformation
• Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity
• A note on a Poissonian functional and a \(q\)-deformed dufresne identity
• scientific article; zbMATH DE number 1218125 (Why is no real title available?)
• Delta-functions on recurrent random walks

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