| Université Paris 6 Pierre et Marie Curie | Université Paris 7 Denis Diderot | |
| CNRS U.M.R. 7599 | ||
| ``Probabilités et Modèles Aléatoires'' | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: Motivated by recent investigations of D. Dufresne [3] about the positive and negative moments of the average of geometric Brownian motion, we use a description of the law of this average obtained by two of us [6] to derive its conditional moments.
Mots Clés: Conditional moments ; Brownian bridge ; exponential functional
Date: 1999-07-06
Prépublication numéro: PMA-517