Revisiting integral functionals of geometric Brownian motion

DOI10.1016/J.SPL.2020.108834zbMATH Open1460.60037arXiv2001.11861OpenAlexW3004334945MaRDI QIDQ2197607FDOQ2197607

Authors: Elena Boguslavskaya, Lioudmila Vostrikova 

Publication date: 1 September 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: In this paper we revisit the integral functional of geometric Brownian motion $I_t=in{t}_0^t{e}^{-(mus+sigma{W}_s)}ds$, where $muinmathbbR$, $sigma>0$, and $(W_s{)}_s>0$ is a standard Brownian motion. Specifically, we calculate the Laplace transform in $t$ of the cumulative distribution function and of the probability density function of this functional.

Full work available at URL: https://arxiv.org/abs/2001.11861

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zbMATH Keywords

Laplace transformgeometric Brownian motionexponential integral functional

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Financial applications of other theories (91G80)

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Cited In (16)

• On distributions of exponential functionals of the processes with independent increments
• Moment generating function of the reciprocal of an integral of geometric Brownian motion
• Title not available (Why is that?)
• K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions
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• On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model
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• The integral of geometric Brownian motion
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• On the integral of geometric Brownian motion

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