Revisiting integral functionals of geometric Brownian motion

Elena Boguslavskaya and Lioudmila Vostrikova

Statistics & Probability Letters, 2020, vol. 165, issue C

Abstract: In this paper we revisit the integral functional of geometric Brownian motion It=∫0te−(μs+σWs)ds, where μ∈R, σ>0 and (Ws)s>0 is a standard Brownian motion.

Keywords: Exponential integral functional; Laplace transform; Geometric Brownian motion (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108834

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