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q-fin.MF2020
Geometric Brownian motion with affine drift and its time-integral
Runhuan Feng, Pingping Jiang, Hans Volkmer
The joint distribution of a geometric Brownian motion and its time-integral was derived in a seminal paper by Yor (1992) using Lamperti's transformation, leading to explicit soluti…
math.CA2020★ 7 cited
Gauss Hypergeometric Representations of the Ferrers Function of the Second Kind
Howard S. Cohl, Justin Park, Hans Volkmer
We derive all eighteen Gauss hypergeometric representations for the Ferrers function of the second kind, each with a different argument. They are obtained from the eighteen hyperge…