On some exponential functionals of Brownian motion (1992)

by Hiroyuki Matsumoto , Marc Yor
Venue:Adv. Appl. Prob
Citations:98 - 10 self

Active Bibliography

34 Exponential functionals of Lévy processes – Jean Bertoin, Marc Yor - 2005
5 On the integral of geometric Brownian motion – Michael Schröder - 2003
26 A Survey and Some Generalizations of Bessel Processes – Anja Göing-Jaeschke, Marc Yor - 1999
ANALYTICAL RAMIFICATIONS OF DERIVATIVES VALUATION: ASIAN OPTIONS AND SPECIAL FUNCTIONS – Michael Schröder - 2002
Bessel processes, the integral of geometric Brownian motion, and Asian options – Peter Carr Michael Schröder, Peter Carr, Michael Schrsder
7 Bessel processes, the integral of geometric Brownian motion, and Asian options – Peter Carr - 2004
11 The law of the maximum of a Bessel bridge – Jim Pitman, Marc Yor - 1998
Annealed tail estimates for a Brownian motion in a drifted Brownian potential – unknown authors - 2006
3 RATES OF CONVERGENCE OF A TRANSIENT DIFFUSION IN A SPECTRALLY NEGATIVE LÉVY POTENTIAL – Arvind Singh, Université Pierre, Marie Curie, V (xt)dt - 2008
13 Rates of convergence of diffusions with drifted Brownian potentials – Yueyun Hu, Zhan Shi, Marc Yor - 1999
3 The upper envelope of positive self-similar Markov processes. – J. C. Pardo - 2007
1 INFINITELY DIVISIBILITY OF SOLUTIONS OF SOME SEMI-STABLE INTEGRO-DIFFERENTIAL EQUATIONS AND EXPONENTIAL FUNCTIONALS OF LÉVY PROCESSES – P. Patie - 2006
Lamperti’s representation theorem [5] applied to E (−ν) – Nathanaël Enriquez, Christophe Sabot, Marc Yor - 806
Electronic addresses: – Alain Comtet, Cécile Monthus, Marc Yor - 1995
66 On The Distribution And Asymptotic Results For Exponential Functionals Of Lévy Processes – Philippe Carmona, Frédérique Petit, Erique Petit, Marc Yor - 1997
17 The limits of Sinai's simple random walk in random environment – Yueyun Hu, Zhan Shi
Moderate deviations for diffusions with – Yueyun Hu, Zhan Shi
6 Moderate deviations for diffusions with Brownian potentials – Yueyun Hu, Zhan Shi
10 A transformation from Hausdorff to Stieltjes moment sequences – Christian Berg, Antonio J. Dur'an - 2004