Exponential functionals of Brownian motion, I: Probability laws at fixed timePreprint, Other literature type English OPEN
Matsumoto, Hiroyuki; Yor, Marc; (2005)
- Publisher: The Institute of Mathematical Statistics and the International Statistical Institute/Bernoulli Society
- Journal: issn: 1549-5787
- Related identifiers:
Subject: Lamperti’s relation | Bessel process | Brownian motion | Mathematics - Probability | 60J65 (Primary) | Hartman-Watson distributions | 60J65
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.