On moments of the integrated exponential Brownian motion

被引：0
|
作者：
Francesco Caravelli
Toufik Mansour
Lorenzo Sindoni
Simone Severini
机构：
[1] Invenia Labs,
[2] London Institute for Mathematical Sciences,undefined
[3] University College London,undefined
[4] University of Haifa,undefined
来源：
The European Physical Journal Plus | / 131卷
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We present new exact expressions for a class of moments of the geometric Brownian motion in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Itô's Wiener process. We then apply the obtained exact formulas to computing averages of the solution of the logistic stochastic differential equation via a series expansion, and compare the results to the solution obtained via Monte Carlo.
引用
收藏
相关论文
共 50 条
  • [1] On moments of the integrated exponential Brownian motion
    Caravelli, Francesco
    Mansour, Toufik
    Sindoni, Lorenzo
    Severini, Simone
    EUROPEAN PHYSICAL JOURNAL PLUS, 2016, 131 (07):
  • [2] Erratum to: On moments of the integrated exponential Brownian motion
    Francesco Caravelli
    Toufik Mansour
    Lorenzo Sindoni
    Simone Severini
    The European Physical Journal Plus, 132
  • [3] On moments of the integrated exponential Brownian motion (vol 131, pg 245, 2016)
    Caravelli, Francesco
    Mansour, Toufik
    Sindoni, Lorenzo
    Severini, Simone
    EUROPEAN PHYSICAL JOURNAL PLUS, 2017, 132 (01):
  • [4] On the moments of the integrated geometric Brownian motion
    Levy, Edmond
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2018, 342 : 263 - 273
  • [5] Asymptotics of exponential moments of a weighted local time of a Brownian motion with small variance
    Kulik, Alexei
    Sobolieva, Daryna
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2016, 3 (01): : 95 - 103
  • [6] On exponential moments of two Brownian functionals
    Stat Probab Lett, 3 (233):
  • [7] On exponential moments of two Brownian functionals
    Stummer, W
    STATISTICS & PROBABILITY LETTERS, 1997, 31 (03) : 233 - 237
  • [8] Fake exponential Brownian motion
    Hobson, David G.
    STATISTICS & PROBABILITY LETTERS, 2013, 83 (10) : 2386 - 2390
  • [9] On an imaginary exponential functional of Brownian motion
    Gredat, D.
    Dornic, I.
    Luck, J. M.
    JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL, 2011, 44 (17)
  • [10] Limiting distributions associated with moments of exponential Brownian functionals
    Hariya, Y
    Yor, M
    STUDIA SCIENTIARUM MATHEMATICARUM HUNGARICA, 2004, 41 (02) : 193 - 242
12345