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Functionals of the Brownian motion process: distributional properties

Lookup NU author(s): Dr Jordan Stoyanov

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Abstract

We deal with functionals of processes which are solutions of stochastic differential equations driven by the Brownian motion. We find conditions under which the distributions of the functionals have heavy tails but finite moments and clarify when such distributions are non-unique. Such questions are far from trivial.

Publication metadata

Author(s): Stoyanov J

Publication type: Article

Publication status: Submitted

Journal:

Year: 2007

Issue: submitted

Pages: 12

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