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Exponential Functionals of Brownian Motion and Related Processes Book

Exponential Functionals of Brownian Motion and Related Processes
Exponential Functionals of Brownian Motion and Related Processes, This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of , Exponential Functionals of Brownian Motion and Related Processes has a rating of 3 stars
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Exponential Functionals of Brownian Motion and Related Processes, This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of , Exponential Functionals of Brownian Motion and Related Processes
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  • Exponential Functionals of Brownian Motion and Related Processes
  • Written by author M. Yor
  • Published by Springer-Verlag New York, LLC, September 2001
  • This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of
  • This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) s
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Authors

Preface
Functionals of Brownian Motion in Finance and in Insurance1
1On Certain Exponential Functionals of Real-Valued Brownian Motion14
2On Some Exponential Functionals of Brownian Motion23
3Some Relations between Bessel Processes, Asian Options and Confluent Hypergeometric Functions49
4The Laws of Exponential Functionals of Brownian Motion, Taken at Various Random Times55
5Bessel Processes, Asian Options, and Perpetuities63
6Further Results on Exponential Functionals of Brownian Motion93
7From Planar Brownian Windings to Asian Options123
8On Exponential Functionals of Certain Levy Processes139
9On Some Exponential-integral Functionals of Bessel Processes172
10Exponential Functionals of Brownian Motion and Disordered Systems182
Index205


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Exponential Functionals of Brownian Motion and Related Processes, This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of , Exponential Functionals of Brownian Motion and Related Processes

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Exponential Functionals of Brownian Motion and Related Processes, This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of , Exponential Functionals of Brownian Motion and Related Processes

Exponential Functionals of Brownian Motion and Related Processes

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Exponential Functionals of Brownian Motion and Related Processes, This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of , Exponential Functionals of Brownian Motion and Related Processes

Exponential Functionals of Brownian Motion and Related Processes

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