Explicit Formulas for Laplace Transforms of Stochastic Integrals
by Tom R. Hurd of McMaster University, and Alexey Kuznetsov of McMaster University
July 3, 2006
Abstract: In this article we provide a general identity useful for computing expectations of the form
for diffusion processes Xt and certain functions Φ. In the case of CIR and Jacobi diffusions, this identity leads to explicit formulas for the Laplace transform of a multidimensional family of random variables constructed from Xt and its integrals.
