On the distribution of the integral of the exponential Brownian motion
Leonid Tolmatz
TL;DR
This paper derives an explicit, rapidly convergent series expression for the density distribution of the integral of exponential Brownian motion, providing a precise mathematical characterization of this stochastic process.
Contribution
It presents the first explicit series representation for the distribution of the integral of exponential Brownian motion, advancing theoretical understanding.
Findings
Derived a rapidly convergent series for the distribution density
Provided a new mathematical tool for analyzing exponential Brownian integrals
Enhanced the theoretical framework for stochastic process analysis
Abstract
The density distribution function of the integral of the exponential Brownian motion is determined explicitly in the form of a rapidly convergent series.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsStochastic processes and statistical mechanics · Stochastic processes and financial applications · Financial Risk and Volatility Modeling