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The explicit Laplace transform for the Wishart process
Affine processes Wishart process ODE Laplace Transform
2011/7/19
We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru (1991). We compare our methodology with the alter...
Laplace transform analysis of a multiplicative asset transfer model
wealth distribution master equation Laplace transform Boltzmann entropy
2010/10/20
We analyze a simple asset transfer model in which the transfer amount is a fixed fraction $f$ of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, sol...
Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
Laplace Transform Drawdowns and Drawups
2010/11/3
In this work we study drawdowns and drawups of general diffu-sion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is de...