A note on the distribution of integrals
✍
Rabi Bhattacharya; Enrique Thomann; Edward Waymire
📂
Article
📅
2001
🏛
Elsevier Science
🌐
English
⚖ 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 deÿned by At := t 0 exp{Zs} ds; t ¿ 0; where {Zs: s ¿ 0} is a one-dimensional Brownian motion with drift