On the distribution of verhulst process

DOI10.1007/s10986-015-9267-yzbMath1321.60162arXiv1408.6727OpenAlexW2053077630MaRDI QIDQ2355527

Maciej Wiśniewolski, Jacek Jakubowski

Publication date: 23 July 2015

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.6727

zbMATH Keywords

Laplace transformexponential functionalgeometric Brownian motionVerhulst processGirsanov's change of measure

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (2)

Density of generalized Verhulst process and Bessel process with constant drift ⋮ Invariance formulas for stopping times of squared Bessel process

Cites Work

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• On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model
• Exponential functionals of Brownian motion and disordered systems
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration

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