Grigelionis, Bronius; Mackevicius, Vigirdas - In: Statistics & Probability Letters 64 (2003) 3, pp. 243-248
It is well known that the stochastic exponential , of a continuous local martingale M has expectation EZt=1 and, thus … consequence, we get that the moments of the stochastic exponential of a stochastic integral with respect to a Brownian motion are …