Exponential functionals of Brownian motion, II: Some related diffusion processes

Simple item page
dc.creatorMatsumoto, Hiroyuki
dc.creatorYor, Marc
dc.date2005-11-21
dc.date2007-04-26
dc.date.accessioned2026-07-07T07:58:17Z
dc.date.available2026-07-07T07:58:17Z
dc.descriptionThis is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy's and Pitman's theorems are discussed.
dc.descriptionPublished at http://dx.doi.org/10.1214/154957805100000168 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0511519
dc.identifierhttp://arxiv.org/abs/math/0511519
dc.identifierProbability Surveys 2005, Vol. 2, 348-384
dc.identifierdoi:10.1214/154957805100000168
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/127949
dc.subjectProbability
dc.subject60J65 (Primary) 60J60, 60H30 (Secondary)
dc.titleExponential functionals of Brownian motion, II: Some related diffusion processes
dc.typetext

Files

Collections

arXiv