Revisiting integral functionals of geometric Brownian motion

Elena Boguslavskaya, Lioudmila Vostrikova

Published 2020-01-31Version 1

In this paper we revisit the integral functional of geometric Brownian motion $I_t= \int_0^t e^{-(\mu s +\sigma W_s)}ds$, where $\mu\in\mathbb{R}$, $\sigma > 0$, and $(W_s )_s>0$ is a standard Brownian motion. Specifically, we calculate the Laplace transform in $t$ of the cumulative distribution function and of the probability density function of this functional.