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Limit distribution of multiple integrals of a Brownian process

✍ Scribed by G. N. Sytaya


Book ID
112477736
Publisher
Springer
Year
1969
Tongue
English
Weight
280 KB
Volume
20
Category
Article
ISSN
0041-5995

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A note on the distribution of integrals
✍ 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