Caravelli, F;
Mansour, T;
Sindoni, L;
Severini, S;
(2016)
On moments of the integrated exponential Brownian motion.
European Physical Journal Plus
, 131
(245)
10.1140/epjp/i2016-16245-9.
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Abstract
We present new exact expressions for a class of moments for the geometric Brownian motion, in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Ito'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.
| Type: | Article |
|---|---|
| Title: | On moments of the integrated exponential Brownian motion |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1140/epjp/i2016-16245-9 |
| Publisher version: | http://dx.doi.org/10.1140/epjp/i2016-16245-9 |
| Language: | English |
| Additional information: | Open Access. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. |
| Keywords: | cond-mat.stat-mech, cond-mat.stat-mech, math-ph, math.MP |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1505288 |
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