Exponential functionals of Brownian motion, I: Probability laws at fixed time

Preprint, Other literature type English OPEN
Matsumoto, Hiroyuki; Yor, Marc;
  • Publisher: The Institute of Mathematical Statistics and the International Statistical Institute/Bernoulli Society
  • Journal: issn: 1549-5787
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.1214/154957805100000159
  • Subject: Lamperti’s relation | Bessel process | Brownian motion | Mathematics - Probability | 60J65 (Primary) | Hartman-Watson distributions | 60J65
    arxiv: Mathematics::Probability

This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
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