On the moments of the integrated geometric Brownian motion

DOI10.1016/j.cam.2018.04.005zbMath1434.60170OpenAlexW2800482767WikidataQ129926355 ScholiaQ129926355MaRDI QIDQ1639545

Edmond Levy

Publication date: 13 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.04.005

zbMATH Keywords

momentsdivided differencesgeometric BrownianPutzer algorithm

Mathematics Subject Classification ID

Numerical interpolation (65D05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral

Cites Work

• Functionals of exponential Brownian motion and divided differences
• Weak convergence of random growth processes with applications to insurance
• A note on the determinant of a Toeplitz-Hessenberg matrix
• A generalization of the symmetry between complete and elementary symmetric functions
• Constant proportion portfolio insurance under a regime switching exponential Lévy process
• Steady flux in a continuous-space Sinai chain
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Fibonacci Determinants
• Accurate Computation of Divided Differences of the Exponential Function
• Avoiding the Jordan Canonical Form in the Discussion of Linear Systems with Constant Coefficients
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