Resumen
This work studies the random variable defined by X≔∫tTZs′AZsds, with A a real matrix of size N×N, and Zs∈RN Gaussian processes. The results show that X is a constant variable when Zs is time-independent. When Zs∈R follows a Brownian motion, a closed-form moment generating function (MGF) of X is derived, which does not match the MGFs of known distributions. Finally, a portfolio problem is presented to show how the MGF of X is needed for finding the optimal solution in closed form.
| Idioma original | Inglés |
|---|---|
| Número de artículo | 114417 |
| Publicación | Chaos, Solitons and Fractals |
| Volumen | 179 |
| DOI | |
| Estado | Publicada - feb 2024 |
| Publicado de forma externa | Sí |
Huella
Profundice en los temas de investigación de 'The integral of the squared Gaussian process'. En conjunto forman una huella única.Citar esto
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