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Laplace Transform of a Brownian motion
If $v(\omega,t) : \Omega \times [0,\infty) \to \mathbb{R}$ is a Standard Brownian motion, then for what values of $s,\omega$ does the Laplace transform $l(\omega,s) = \int_0^\infty e^{-st} v(\omega,t) ...
5
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2answers
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Laplace transform of integrated geometric Brownian motion
Is there any closed form of the Laplace transform of an integrated geometric Brownian motion ?
A geometric Brownian motion $X=(X_t)_{t \geq 0}$ satisifies $dX_t = \sigma X_t \, dW_t$ where ...
