A direct solution to the Fokker-Planck equation for exponential Brownian functionals

DOI10.1142/S0219530510001655zbMATH Open1206.60061MaRDI QIDQ3580191FDOQ3580191

Authors: Caroline Pintoux, Nicolas Privault 

Publication date: 11 August 2010

Published in: Analysis and Applications (Search for Journal in Brave)

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zbMATH Keywords

Bessel functionFokker-Planck equationspectral expansionDothan modelBrownian exponential functional

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Microeconomic theory (price theory and economic markets) (91B24) Analyticity in context of PDEs (35A20) Path integrals in quantum mechanics (81S40)

Cites Work

• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
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• On some exponential functionals of Brownian motion
• Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
• Spectral Expansions for Asian (Average Price) Options
• Laguerre series for Asian and other options
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Diffusion in a one-dimensional random medium and hyperbolic Brownian motion

Cited In (11)

• Direct derivation of corrective terms in SDE through nonlinear transformation on Fokker-Planck equation
• The \(\alpha\)-hypergeometric stochastic volatility model
• Estimates for exponential functionals of continuous Gaussian processes with emphasis on fractional Brownian motion
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Global and non-global solutions of a fractional reaction-diffusion equation perturbed by a fractional noise
• Finite-time blowup and existence of global positive solutions of a semi-linear stochastic partial differential equation with fractional noise
• The Dothan pricing model revisited
• Asian option pricing via Laguerre quadrature: a diffusion kernel approach
• Monte Carlo computation of the Laplace transform of exponential Brownian functionals
• Finite-time blow-up of a non-local stochastic parabolic problem
• Exponential functionals of Brownian motion and explosion times of a system of semilinear SPDEs

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