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- W3125435445 abstract "This note derives new expressions for the moments of the average of values taken by Wiener paths at an arbitrary number, N, of discrete times. The expressions are closed summations, which entail only the N-th powers of, and the successive differences between, the moments of the lognormal finite dimensional distribution of the process' values at the time of the first averaging. By passing to the limit of the average when the averaging frequency becomes continuous, known forms for the continuous average are generalized by a single expression." @default.
- W3125435445 created "2021-02-01" @default.
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- W3125435445 date "2002-01-01" @default.
- W3125435445 modified "2023-09-26" @default.
- W3125435445 title "All Moments of Discrete and Continuous Arithmetic Averages on Brownian Paths: A Closed Form" @default.
- W3125435445 hasPublicationYear "2002" @default.
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