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Distribution of integral functionals of a Brownian motion process

✍ Scribed by A. N. Borodin

Publisher
Springer US
Year
1984
Tongue
English
Weight
857 KB
Volume
27
Category
Article
ISSN
1573-8795

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πŸ“œ SIMILAR VOLUMES

A note on the distribution of integrals
A note on the distribution of integrals of geometric Brownian motion
✍ Rabi Bhattacharya; Enrique Thomann; Edward Waymire πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 82 KB

The purpose of this note is to identify an interesting and surprising duality between the equations governing the probability distribution and expected value functional of the stochastic process deΓΏned by At := t 0 exp{Zs} ds; t ΒΏ 0; where {Zs: s ΒΏ 0} is a one-dimensional Brownian motion with drift