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

random walkstrong approximationself-similarityexponential functionalAsian option\(L^p\) limit

Mathematics Subject Classification ID

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

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.

Recommendations

• Some asymptotic results for exponential functionals of Brownian motion
• On some exponential functionals of Brownian motion
• On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
• Sur les fonctionnelles exponentielles de certains processus de lévy
• Exponential functionals of Brownian motion and disordered systems

Cites work

• scientific article; zbMATH DE number 44693 (Why is no real title available?)
• scientific article; zbMATH DE number 47625 (Why is no real title available?)
• scientific article; zbMATH DE number 3495456 (Why is no real title available?)
• scientific article; zbMATH DE number 1163909 (Why is no real title available?)
• scientific article; zbMATH DE number 1444753 (Why is no real title available?)
• An elementary introduction to the Wiener process and stochastic integrals
• Composants and βN
• Exponential functionals of Brownian motion and related processes
• Invariant measures for parabolic IFS with overlaps and random continued fractions
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• On the Continuity of the Distribution of a Sum of Dependent Variables Connected with Independent Walks on Lines
• On the Random Walk and Brownian Motion
• Sur certaines fonctionnelles exponentielles du mouvement brownien réel
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• The classical moment problem as a self-adjoint finite difference operator

Cited in

(6)

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

This page was built for publication: An exponential functional of random walks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4435683)