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Advances in Applied Probability
Article . 2003 . Peer-reviewed
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https://dx.doi.org/10.48550/ar...
Article . 2002
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On the integral of geometric Brownian motion

Authors: Schröder, Michael;

On the integral of geometric Brownian motion

Abstract

This paper studies the law of any real powers of the integral of geometric Brownian motion over finite time intervals. As its main results, an apparently new integral representation is derived and its interrelations with the integral representations for these laws originating by Yor and by Dufresne are established. In fact, our representation is found to furnish what seems to be a natural bridge between these other two representations. Our results are obtained by enhancing the Hartman-WatsonAnsatzof Yor, based on Bessel processes and the Laplace transform, by complex analytic techniques. Systematizing this idea in order to overcome the limits of Yor's theory seems to be the main methodological contribution of the paper.

Country
Germany
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Keywords

Laplace transform, Probability (math.PR), 510, 91B28, Asian option, Mathematics - Classical Analysis and ODEs, Classical Analysis and ODEs (math.CA), FOS: Mathematics, 60J65, Algebraic Topology (math.AT), Mathematics - Algebraic Topology, Brownian motion, Diffusion processes, Mathematics - Probability, 60J65; 91B28

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
23
Top 10%
Top 10%
Top 10%
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bronze
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