On positive and negative moments of the integral of geometric Brownian motions
type: Item
instance of: scholarly article
title: On positive and negative moments of the integral of geometric Brownian motions
zbMATH Open document ID: 0974.60069
DOI: 10.1016/S0167-7152(00)00029-8
author: Catherine Donati-Martin
author: Hiroyuki Matsumoto
author: Marc Yor
published in: Statistics \& Probability Letters
publication date: 2001-12-02T00:00:00Z
review text: 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.
reviewed by: Yuri Kabanov
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60G55
zbMATH DE Number: 1506808
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: mathematical finance
zbMATH Keywords: hyperbolic Brownian motion
MaRDI profile type: Publication
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full work available at URL: s0167-7152(00)00029-8
OpenAlex ID: W2047050302
Wikidata QID: Q127014834
description: scientific article; zbMATH DE number 1506808