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Let $��$ be the first hitting time of the point 1 by the geometric Brownian motion $X(t)= x \exp(B(t)-2��t)$ with drift $��\geq 0$ starting from $x>1$. Here $B(t)$ is the Brownian motion starting from 0 with $E^0 B^2(t) = 2t$. We provide an integral formula for the density function of the stopped exponential functional $A(��)=\int_0^��X^2(t) dt$ and determine its asymptotic behaviour at infinity. Although we basically rely on methods developed in \cite{BGS}, the present paper also covers the case of arbitrary drifts $��\geq 0$ and provides a significant unification and extension of results of the above-mentioned paper. As a corollary we provide an integral formula and give asymptotic behaviour at infinity of the Poisson kernel for half-spaces for Brownian motion with drift in real hyperbolic spaces of arbitrary dimension.
18 pages
60J65; 60J60, Probability (math.PR), FOS: Mathematics, 60J65, Mathematics - Probability, 60J60
60J65; 60J60, Probability (math.PR), FOS: Mathematics, 60J65, Mathematics - Probability, 60J60
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