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The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential…

Condensed Matter · Physics 2007-05-23 Alain Comtet , Cécile Monthus , Marc Yor

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.

Probability · Mathematics 2007-05-23 Hiroyuki Matsumoto , Marc Yor

This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the…

Probability · Mathematics 2013-09-10 Mark Podolskij , Nakahiro Yoshida

We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou on the processes with hyper-exponential…

Probability · Mathematics 2012-01-30 Alexey Kuznetsov

Exponential functionals of Brownian motion have been extensively studied in financial and insurance mathematics due to their broad applications, for example, in the pricing of Asian options. The Black-Scholes model is appealing because of…

Pricing of Securities · Quantitative Finance 2016-10-04 Runhuan Feng , Alexey Kuznetsov , Fenghao Yang

Classical diffusion in a random medium involves an exponential functional of Brownian motion. This functional also appears in the study of Brownian diffusion on a Riemann surface of constant negative curvature. We analyse in detail this…

Condensed Matter · Physics 2016-08-31 Alain COMTET , Cecile MONTHUS

Motivated by a common Mathematical Finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functional of an associated Brownian motion. We prove a conjecture…

Probability · Mathematics 2018-07-09 Wissem Jedidi , Stavros Vakeroudis

We consider exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…

Probability · Mathematics 2026-01-13 Fabrice Baudoin , Neil O'Connell

In the first paper of this series, I investigated whether a wavefunction model of a heavy particle and a collection of light particles might generate "Brownian-Motion-Like" trajectories of the heavy particle. I concluded that it was…

Quantum Physics · Physics 2023-08-04 W. David Wick

Let $\{b_H(t),t\in\mathbb{R}\}$ be the fractional Brownian motion with parameter $0<H<1$. When $1/2<H$, we consider diffusion equations of the type \[X(t)=c+\int_0^t\sigma\bigl(X(u)\bigr)\mathrm {d}b_H(u)+\int _0^t\mu\bigl(X(u)\bigr)\mathrm…

Probability · Mathematics 2008-12-18 Corinne Berzin , José R. León

In this paper we extend our previous results on wrapping Brownian motion and heat kernels onto compact Lie groups to various symmetric spaces, where a global generalisation of Rouvi\`ere's formula and the $e$-function are considered.…

Representation Theory · Mathematics 2010-05-27 David G Maher

Functionals of Brownian/non-Brownian motions have diverse applications and attracted a lot of interest of scientists. This paper focuses on deriving the forward and backward fractional Feynman-Kac equations describing the distribution of…

Data Analysis, Statistics and Probability · Physics 2016-04-06 Xiaochao Wu , Weihua Deng , Eli Barkai

We investigate a random integral which provides a natural example of an imaginary exponential functional of Brownian motion. This functional shows up in the study of the binary annihilation process, within the Doi-Peliti formalism for…

Statistical Mechanics · Physics 2015-03-17 D. Gredat , I. Dornic , J. M. Luck

It is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, we prove another invariance of Brownian motion that is compatible with the time reversal. The…

Probability · Mathematics 2023-10-20 Yuu Hariya

The density distribution function of the integral of the exponential Brownian motion is determined explicitly in the form of a rapidly convergent series.

Probability · Mathematics 2009-04-14 Leonid Tolmatz

Functionals of Brownian motion have diverse applications in physics, mathematics, and other fields. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, which is a Schrodinger equation in…

Statistical Mechanics · Physics 2010-11-25 Shai Carmi , Lior Turgeman , Eli Barkai

We review several results related to the problem of a quantum particle in a random environment. In an introductory part, we recall how several functionals of the Brownian motion arise in the study of electronic transport in weakly…

Disordered Systems and Neural Networks · Physics 2007-05-23 Alain Comtet , Jean Desbois , Christophe Texier

The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative L\'evy process \xi with unbounded variation.…

Probability · Mathematics 2009-04-22 Pierre Patie

The aim of this paper is to investigate discrete approximations of the exponential functional $\int_0^{\infty} \exp(B(t) - \nu t) \di t$ of Brownian motion (which plays an important role in Asian options of financial mathematics) by the…

Probability · Mathematics 2010-08-10 Tamas Szabados , Balazs Szekely

We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…

Probability · Mathematics 2018-11-07 Sebastian Andres , Lisa Hartung
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