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math.PR2024
Asymptotic expansion for the Hartman-Watson distribution
Dan Pirjol
The Hartman-Watson distribution with density is a probability distribution defined on which appears in several problems of applied probability. The density of t…
math.PR2024
On the distribution of the time-integral of the geometric Brownian motion
Peter Nandori, Dan Pirjol
We study the numerical evaluation of several functions appearing in the small time expansion of the distribution of the time-integral of the geometric Brownian motion as well as it…