Exponential functionals of Brownian motion and disordered systems
凝聚态物理
2007-05-23 v1
摘要
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 functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.
引用
@article{arxiv.cond-mat/9601014,
title = {Exponential functionals of Brownian motion and disordered systems},
author = {Alain Comtet and Cécile Monthus and Marc Yor},
journal= {arXiv preprint arXiv:cond-mat/9601014},
year = {2007}
}
备注
18 pages