On some exponential functionals of Brownian motion

On some exponential functionals of Brownian motion (1992)

by Hiroyuki Matsumoto , Marc Yor

Venue:	Adv. Appl. Prob
Citations:	68 - 6 self

Datum	Value	Source
TITLE	On some exponential functionals of Brownian motion	INFERENCE
AUTHOR NAME	Hiroyuki Matsumoto	SVM HeaderParse 0.2
AUTHOR AFFIL	Graduate School of Information Science, Nagoya University,	SVM HeaderParse 0.2
AUTHOR ADDR	Chikusa-ku, Nagoya 464-8601, Japan	SVM HeaderParse 0.2
AUTHOR NAME	Marc Yor	SVM HeaderParse 0.2
AUTHOR AFFIL	Laboratoire de Probabilités and Institut universitaire de France,; Université Pierre et Marie Curie,	SVM HeaderParse 0.2
AUTHOR ADDR	175 rue du Chevaleret, F-75013 Paris, France	SVM HeaderParse 0.2
ABSTRACT	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.	SVM HeaderParse 0.2
YEAR	1992	INFERENCE
VENUE	Adv. Appl. Prob	INFERENCE
VENUE TYPE	JOURNAL	INFERENCE
PAGES	509--531	INFERENCE
CITATIONS	65 found	ParsCit 1.0