Related papers: On some exponential integral functionals of BM($\m…
In this paper we revisit the integral functional of geometric Brownian motion $I_t= \int_0^t e^{-(\mu s +\sigma W_s)}ds$, where $\mu\in\mathbb{R}$, $\sigma > 0$, and $(W_s )_s>0$ is a standard Brownian motion. Specifically, we calculate the…
We consider exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…
Using a special case of the Efros theorem which was derived by Wlodarski, and operational calculus, it was possible to derive many infinite integrals, finite integrals and integral identities for the function represented by the inverse…
We investigate a random integral which provides a natural example of an imaginary exponential functional of Brownian motion. This functional shows up in the study of the binary annihilation process, within the Doi-Peliti formalism for…
Asymptotic expansions are obtained for contour integrals of the form \[ \int_a^b \exp \left( - zp(t) + z^{\nu /\mu } r(t) \right)q(t)dt, \] in which $z$ is a large real or complex parameter, $p(t)$, $q(t)$ and $r(t)$ are analytic functions…
For real-valued additive process $(X\_t)\_{t\geq 0}$ a recursive equation is derived for the entire positive moments of functionals $$I\_{s,t}= \int \_s^t\exp(-X\_u)du, \quad 0\leq s<t\leq\infty, $$ in case the Laplace exponent of $X\_t$…
The present paper is concerned with the integral of the absolute value of a Brownian motion with drift. By establishing an asymptotic expansion of the space Laplace transform, we obtain series representations for the probability density…
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of…
A number of new definite integrals involving Bessel functions are presented. These have been derived by finding new integral representations for the product of two Bessel functions of different order and argument in terms of the generalized…
We determine the asymptotic behaviour of the $n$th derivatives of the Bessel functions $J_\nu(a)$ and $K_\nu(a)$, where $a$ is a fixed positive quantity, as $n\to\infty$. These results are applied to the asymptotic evaluation of two…
Laplace transforms for integrals of stochastic processes have been known in analytically closed form for just a handful of Markov processes: namely, the Ornstein-Uhlenbeck, the Cox-Ingerssol-Ross (CIR) process and the exponential of…
The integrals $\threej{\Llo}{\Llt}{\Llth} {0}{0}{0}\,\int_0^\infty \,r^{\Llth+1}\,e^{-\alpha r}\,j_\Llo(k_1r)\, j_\Llt(k_2r)\,dr$ and $\threej{\Llo}{\Llt}{\Llth} {0}{0}{0}\,\int_0^\infty \,r^{\Llth+2}\,e^{-\alpha r}\,j_\Llo(k_1r)\,…
The density distribution function of the integral of the exponential Brownian motion is determined explicitly in the form of a rapidly convergent series.
The paper is devoted to the existence of integral functionals $\int_0^\infty f(X(t))\,{\mathrm{d}t}$ for several classes of processes in $\mathbb{R}$ with $d\ge 3$. Some examples such as Brownian motion, fractional Brownian motion, compound…
In this paper we study perpetual integral functionals of diffusions. Our interest is focused on cases where such functionals can be expressed as first hitting times for some other diffusions. In particular, we generalize the result which…
We study the distribution of the exponential functional $I(\xi,\eta)=\int_0^{\infty} \exp(\xi_{t-}) \d \eta_t$, where $\xi$ and $\eta$ are independent L\'evy processes. In the general setting using the theories of Markov processes and…
Let $X$ be a linear diffusion and $f$ a non-negative, Borel measurable function. We are interested in finding conditions on $X$ and $f$ which imply that the perpetual integral functional $$ I^X_\infty(f):=\int_0^\infty f(X_t) dt $$ is…
We provide the increasing eigenfunctions associated to spectrally negative self-similar Feller semigroups, which have been introduced by Lamperti. These eigenfunctions are expressed in terms of a new family of power series which includes,…
Let $\{u(t\,, x)\}_{(t, x)\in \mathbb{R}_+\times \mathbb{R}}$ be the density of one-dimensional super-Brownian motion starting from Lebesgue measure. Using the Laplace functional of super-Brownian motion, we prove that as $N\to \infty$, the…
In this paper we study the exponential functionals of the processes $X$ with independent increments , namely $$I_t= \int _0^t\exp(-X_s)ds, _,\,\, t\geq 0,$$ and also $$I_{\infty}= \int _0^{\infty}\exp(-X_s)ds.$$ When $X$ is a…