Exponential functionals of Brownian motion, I: Probability laws at fixed time
概率论
2007-05-23 v1
摘要
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.
引用
@article{arxiv.math/0511517,
title = {Exponential functionals of Brownian motion, I: Probability laws at fixed time},
author = {Hiroyuki Matsumoto and Marc Yor},
journal= {arXiv preprint arXiv:math/0511517},
year = {2007}
}
备注
Published at http://dx.doi.org/10.1214/154957805100000159 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)