On moments of the integrated exponential Brownian motion

Francesco Caravelli, Toufik Mansour, Lorenzo Sindoni, Simone Severini

Research output: Contribution to journalArticlepeer-review


We present new exact expressions for a class of moments of the geometric Brownian motion in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Itô's Wiener process. We then apply the obtained exact formulas to computing averages of the solution of the logistic stochastic differential equation via a series expansion, and compare the results to the solution obtained via Monte Carlo.

Original languageEnglish
Article number245
JournalEuropean Physical Journal Plus
Issue number7
StatePublished - 1 Jul 2016

Bibliographical note

Publisher Copyright:
© 2016, The Author(s).

ASJC Scopus subject areas

  • General Physics and Astronomy
  • Fluid Flow and Transfer Processes


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