An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach

By Hiroyuki Matsumoto, Marc Yor. Nagoya mathematical journal, 2000

95 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/95d4cc98507e7b8b10bd76dd23a41682b655bf11

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

1. Marc Yor
2. Hiroyuki Matsumoto

In Finance

1. Hiroyuki Matsumoto
2. Marc Yor
3. Daniel Dufresne
4. Vadim Linetsky
5. Pierre Patie
6. Neil O'Connell
7. M. Schröder
8. P. Carr

In Mathematical Physics

1. Marc Yor
2. Hiroyuki Matsumoto
3. Neil O'Connell
4. Daniel Dufresne
5. Nozer D. Singpurwalla
6. Jim Pitman
7. Pierre Patie
8. V. Rivero

Citations in the corpus

• Exponential functionals of Levy processes (2005, unknown): “[49, 50, 51]).”
• Exponential functionals of Brownian motion, II: Some related diffusion processes (2005, methodology): “Another proof for the proposition which uses several properties of Bessel processes has been given in [45] and a proof based on Theorem 5.”