On moments of the integrated exponential Brownian motion

Francesco Caravelli; Toufik Mansour; Lorenzo Sindoni; Simone Severini

doi:https://doi.org/10.1140/epjp/i2016-16245-9

On moments of the integrated exponential Brownian motion

Francesco Caravelli, Toufik Mansour, Lorenzo Sindoni, Simone Severini

Department of Mathematics

University of Haifa

Research output: Contribution to journal › Article › peer-review

Abstract

We present new exact expressions for a class of moments of the geometric Brownian motion in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Itô's Wiener process. We then apply the obtained exact formulas to computing averages of the solution of the logistic stochastic differential equation via a series expansion, and compare the results to the solution obtained via Monte Carlo.

Original language	American English
Article number	245
Journal	European Physical Journal Plus
Volume	131
Issue number	7
DOIs	https://doi.org/10.1140/epjp/i2016-16245-9
State	Published - 1 Jul 2016

All Science Journal Classification (ASJC) codes

Fluid Flow and Transfer Processes
General Physics and Astronomy

Access to Document

https://doi.org/10.1140/epjp/i2016-16245-9

Cite this

@article{97f05203e7454619967df73ba1b2ba27,

title = "On moments of the integrated exponential Brownian motion",

abstract = "We present new exact expressions for a class of moments of the geometric Brownian motion in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a It{\^o}'s Wiener process. We then apply the obtained exact formulas to computing averages of the solution of the logistic stochastic differential equation via a series expansion, and compare the results to the solution obtained via Monte Carlo.",

author = "Francesco Caravelli and Toufik Mansour and Lorenzo Sindoni and Simone Severini",

note = "Publisher Copyright: {\textcopyright} 2016, The Author(s).",

year = "2016",

month = jul,

day = "1",

doi = "https://doi.org/10.1140/epjp/i2016-16245-9",

language = "American English",

volume = "131",

journal = "European Physical Journal Plus",

issn = "2190-5444",

publisher = "Springer New York",

number = "7",

}

TY - JOUR

T1 - On moments of the integrated exponential Brownian motion

AU - Caravelli, Francesco

AU - Mansour, Toufik

AU - Sindoni, Lorenzo

AU - Severini, Simone

PY - 2016/7/1

Y1 - 2016/7/1

N2 - We present new exact expressions for a class of moments of the geometric Brownian motion in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Itô's Wiener process. We then apply the obtained exact formulas to computing averages of the solution of the logistic stochastic differential equation via a series expansion, and compare the results to the solution obtained via Monte Carlo.

AB - We present new exact expressions for a class of moments of the geometric Brownian motion in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Itô's Wiener process. We then apply the obtained exact formulas to computing averages of the solution of the logistic stochastic differential equation via a series expansion, and compare the results to the solution obtained via Monte Carlo.

UR - http://www.scopus.com/inward/record.url?scp=84979915641&partnerID=8YFLogxK

U2 - https://doi.org/10.1140/epjp/i2016-16245-9

DO - https://doi.org/10.1140/epjp/i2016-16245-9

M3 - Article

SN - 2190-5444

VL - 131

JO - European Physical Journal Plus

JF - European Physical Journal Plus

IS - 7

M1 - 245

ER -

On moments of the integrated exponential Brownian motion

Abstract

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this