Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

Let $X_t$ be a standard Brownian motion, and $\lambda$ and $\alpha$ are positive constants. Consider the random variable: $$ \int_0^t \lambda e^{\lambda u + \frac{\alpha u X_t}{t} - \frac{\alpha^2 u^2}{2t}} du$$

Does this guy have a standard distribution? Thanks!

share|cite|improve this question

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.