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On the double Laplace transform of the truncated variation of a Brownian motion with drift
Published online by Cambridge University Press: 01 October 2016
Abstract
The aim of this paper is to find a formula for the double Laplace transform of the truncated variation of a Brownian motion with drift. In order to find the double Laplace transform, we also prove some identities for the Brownian motion with drift, which may be of independent interest.
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- Research Article
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- © The Author 2016