| Université Paris 6 Pierre et Marie Curie | Université Paris 7 Denis Diderot | |
| CNRS U.M.R. 7599 | ||
| ``Probabilités et Modèles Aléatoires'' | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: We present explicit forms of the positive and negative moments of an exponential Wiener functionals, which is defined as an integral in time of geometric Brownian motion and plays an important role in several fields.
Mots Clés: Conditional moments ; Brownian bridge ; exponential functional
Date: 1999-07-09
Prépublication numéro: PMA-518