Geometric Brownian motion with random observation time as generalization of the double Pareto distribution

We study the probability distribution of the value of geometric Brownian motion at the stochastic observation time. It is known that the exponentially distributed observation time yields the distribution called the double Pareto distribution, and this study aims to generalize this distribution. First, we provide a calculation formula for the moment of the observed value of geometric Brownian motion using the moment-generating function of the observation time distribution. Next, the probability density of the observed value of geometric Brownian motion is exactly derived under the observation time following the generalized inverse Gaussian distribution. This result includes cases where the observation time follows the gamma, inverse gamma, and inverse Gaussian distributions, and can be regarded as a generalization of the double Pareto distribution.

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Publication Details

Journal
Journal of Mathematical Physics
Published
2025-12-01
DOI
https://doi.org/10.1063/5.0266774
Primary Topic
Statistical Distribution Estimation and Applications
Type
article
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article

Geometric Brownian motion with random observation time as generalization of the double Pareto distribution

Yoshihiro Yamazaki, T. Bando, Ken Yamamoto, Hiroshi Yanagawa
Journal of Mathematical Physics
Statistical Distribution Estimation and Applications
article

Geometric Brownian motion with random observation time as generalization of the double Pareto distribution

Yoshihiro Yamazaki, T. Bando, Ken Yamamoto, Hiroshi Yanagawa
article en

Abstract

We study the probability distribution of the value of geometric Brownian motion at the stochastic observation time. It is known that the exponentially distributed observation time yields the distribution called the double Pareto distribution, and this study aims to generalize this distribution. First, we provide a calculation formula for the moment of the observed value of geometric Brownian motion using the moment-generating function of the observation time distribution. Next, the probability density of the observed value of geometric Brownian motion is exactly derived under the observation time following the generalized inverse Gaussian distribution. This result includes cases where the observation time follows the gamma, inverse gamma, and inverse Gaussian distributions, and can be regarded as a generalization of the double Pareto distribution.

Journal of Mathematical PhysicsVol. 66(12)
Waseda University (JP), University of the Ryukyus (JP), Anritsu (Japan) (JP)
Openalex Percentile: Top 65%
Statistical Distribution Estimation and Applications
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Geometric Brownian motion with random observation time as generalization of the double Pareto distribution — Yoshihiro Yamazaki, T. Bando, et al. · Journal of Mathematical Physics (2025) | TGRS Research Map | TGRS