On the distribution of the integral of the exponential Brownian motion

2009/04/12 by Leonid Tolmatz, Tolmatz, Leonid
Mathematics · #60J65 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60J65

paper · pdf · doi:10.48550/arxiv.0904.1870

19 pages

arxiv created 2009/04/12 · arxiv updated 2009/12/01

Abstract

The density distribution function of the integral of the exponential Brownian motion is determined explicitly in the form of a rapidly convergent series.

Related

• Density estimates for the exponential functionals of fractional Brownian motion
• Exponential Martingales and Time integrals of Brownian Motion
• Some explicit distributions for Brownian motion indexed by the Brownian tree
• Revisiting integral functionals of geometric Brownian motion
• On the Absolute-Value Integral of a Brownian Motion with Drift: Exact and Asymptotic Formulae