On positive and negative moments of the integral of geometric Brownian motions (Q1579536)
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scientific article; zbMATH DE number 1506808
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On positive and negative moments of the integral of geometric Brownian motions |
scientific article; zbMATH DE number 1506808 |
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On positive and negative moments of the integral of geometric Brownian motions (English)
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2 December 2001
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Let \(A_t(\mu)=\int_0^t\exp(2B_t+2\mu)dt\) where \(B\) is a standard Brownian motion. Recently, Dufresne obtained formulae for moments of this random variable involving the Gauss hypergeometric function. The note gives alternative proofs based on a distributional identity due to Matsumoto and Yor.
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geometric Brownian motion
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mathematical finance
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hyperbolic Brownian motion
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