Displaying similar documents to “Generalized functionals of Brownian motion.”

q-White noise and non-adapted stochastic integral

Un Cig Ji, Byeong Su Min (2006)

Banach Center Publications

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The q-white noise is studied as the time derivative of the q-Brownian motion. As an application of the q-white noise, a non-adapted (non-commutative) stochastic integral with respect to the q-Brownian motion is constructed.

On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model

Jacek Jakubowski, Maciej Wiśniewolski (2013)

Studia Mathematica

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We find a probabilistic representation of the Laplace transform of some special functional of geometric Brownian motion using squared Bessel and radial Ornstein-Uhlenbeck processes. Knowing the transition density functions of these processes, we obtain closed formulas for certain expectations of the relevant functional. Among other things we compute the Laplace transform of the exponent of the T transforms of Brownian motion with drift used by Donati-Martin, Matsumoto, and Yor in a variety...