Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

On positive and negative moments of the integral of geometric Brownian motions

Auteur(s):

Code(s) de Classification MSC:

Résumé: We present explicit forms of the positive and negative moments of an exponential Wiener functionals, which is defined as an integral in time of geometric Brownian motion and plays an important role in several fields.

Mots Clés: Conditional moments ; Brownian bridge ; exponential functional

Date: 1999-07-09

Prépublication numéro: PMA-518