Exponential functionals of Brownian motion, I: Probability laws at fixed time

By Hiroyuki Matsumoto, Marc Yor. 2005

239 citations recorded by the source corpus.

This paper is the rst part of our survey on various results about the distribution of exponential type Brownian functionals dened as an integral over time of geometric Brownian motion. Several related topics are also mentioned.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/e76bcea268930825d631e0f36ad0b2cfcb5eff6f

How researchers see this paper

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

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

• Law of the absorption time of some positive self-similar Markov processes (2009, unknown): “12 03 v1 [ m at h. PR ] 6 N ov 2 00”
• Exponential functionals of Brownian motion, II: Some related diffusion processes (2005, background): “In Part I [49] of our survey, we have discussed about the probability law of A (μ) t for fixed t and about several related topics.”