On the Absolute-Value Integral of a Brownian Motion with Drift: Exact and Asymptotic Formulae

Abstract: The present paper is concerned with the integral of the absolute value of a Brownian motion with drift. By establishing an asymptotic expansion of the space Laplace transform, we obtain series representations for the probability density function and cumulative distribution function of the integral, making use of Meijer's G-function. A functional recursive formula is derived for the moments, which is shown to yield only exponentials and Gauss' error function up to arbitrary orders, permitting exact computations. To obtain sharp asymptotic estimates for small- and large-deviation probabilities, we employ a marginal space-time Laplace transform and apply a newly developed generalization of Laplace's method to exponential Airy integrals. The impact of drift on the complete distribution of the integral is explored in depth. The resultant new formulae complement existing ones in the standard Brownian motion case to great extent in terms of both theoretical generality and modeling capacity and have been presented for easy implementation, which numerical experiments demonstrate.