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2005 Exponential functionals of Brownian motion, I: Probability laws at fixed time
Hiroyuki Matsumoto, Marc Yor
Probab. Surveys 2: 312-347 (2005). DOI: 10.1214/154957805100000159

Abstract

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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Hiroyuki Matsumoto. Marc Yor. "Exponential functionals of Brownian motion, I: Probability laws at fixed time." Probab. Surveys 2 312 - 347, 2005. https://doi.org/10.1214/154957805100000159

Information

Published: 2005
First available in Project Euclid: 21 November 2005

zbMATH: 1189.60150
MathSciNet: MR2203675
Digital Object Identifier: 10.1214/154957805100000159

Subjects:
Primary: 60J65

Keywords: Bessel process , Brownian motion , Hartman-Watson distributions , Lamperti’s relation

Rights: Copyright © 2005 The Institute of Mathematical Statistics and the Bernoulli Society

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