Published July 2016
| Version v1
Journal article
On moments of the integrated exponential Brownian motion
- 1. Invenia Labs (United Kingdom)
- 2. University of Haifa (Israel)
- 3. University College London (United Kingdom)
Description
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.
Additional details
Identifiers
Publishing Information
- Journal Title
- European Physical Journal Plus
- Journal Volume
- 131
- Journal Issue
- 7
- Journal Page Range
- p. 1-10
- ISSN
- 2190-5444
INIS
- Country of Publication
- Germany
- Country of Input or Organization
- International Atomic Energy Agency (IAEA)
- INIS RN
- 51019316
- Subject category
- S71: CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS;
- Descriptors DEI
- BROWNIAN MOVEMENT; COMPARATIVE EVALUATIONS; COMPUTERIZED SIMULATION; DIFFERENTIAL EQUATIONS; MATHEMATICAL SOLUTIONS; MONTE CARLO METHOD; RECURSION RELATIONS; SERIES EXPANSION; STOCHASTIC PROCESSES
- Descriptors DEC
- CALCULATION METHODS; EQUATIONS; EVALUATION; SIMULATION
Optional Information
- Copyright
- Copyright (c) 2016 The Author(s)