On the distribution of the integral of the exponential Brownian motion

Details On the distribution of the integral of the exponential Brownian motion On the distribution of the integral of the exponential Brownian motion

2009-04-12

arxiv.org/abs/0904.1870v1

Mathematics

Probability

19 pages

Scientific paper

The density distribution function of the integral of the exponential Brownian
motion is determined explicitly in the form of a rapidly convergent series.

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