Minqiang Li, Fabio Mercurio and Serge Resnick derive an efficient closed-form approximation for the moment-generating function of the integral of a mean-reverting stochastic process, which follows a ...

Le but de cet article est de donner quelques formules explicites faisant intervenir des fonctions de Möbius. De telles formules explicites peuvent être prouvées sous l’hypothèse de Riemann généralisée ...

This is a preview. Log in through your library . Abstract We provide an explicit gradient formula for linear chance constraints under a (possibly singular) multivariate Gaussian distribution. This ...