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

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

On the conditional moments of exponential Brownian functionals

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