Revisiting integral functionals of geometric Brownian motion

DOI10.1016/J.SPL.2020.108834MaRDI QIDQ2197607zbMATH OpenOpenAlexFDO

Authors Elena Boguslavskaya, Lioudmila Vostrikova

Publication date 1 September 2020

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

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

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)

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.

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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
• K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions
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