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On some exponential functionals of Brownian motion
 Adv. Appl. Prob
, 1992
"... Abstract: This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, expl ..."
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Cited by 205 (15 self)
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Abstract: This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy’s and Pitman’s theorems are discussed.
Conditioned stochastic differential equations: theory, examples and application to finance
, 2002
"... ..."
Random matrices, noncolliding processes and queues
 TO APPEAR IN SÉMINAIRE DE PROBABILITÉS XXXVI
, 2002
"... This is survey of some recent results connecting random matrices, noncolliding processes and queues. ..."
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Cited by 25 (3 self)
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This is survey of some recent results connecting random matrices, noncolliding processes and queues.
ELECTRONIC COMMUNICATIONS in PROBABILITY FURTHER EXPONENTIAL GENERALIZATION OF PITMAN’S 2MX THEOREM
, 2001
"... Diffusion processes, Exponential analogue of the 2M − X Pitman’s theorem We present a class of processes which enjoy an exponential analogue of Pitman’s 2MX theorem, improving hence some works of H. Matsumoto and M. Yor. 1 ..."
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Diffusion processes, Exponential analogue of the 2M − X Pitman’s theorem We present a class of processes which enjoy an exponential analogue of Pitman’s 2MX theorem, improving hence some works of H. Matsumoto and M. Yor. 1
Digital Object Identifier (DOI) 10.1007/s0044000302804
"... Pinning class of the Wiener measure by a functional: related martingales and invariance properties ..."
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Pinning class of the Wiener measure by a functional: related martingales and invariance properties